Unit root tests for panel data
Article Abstract:
This paper develops unit root tests for panel data. These tests are devised under more general assumptions than the tests previously proposed. First, the number of groups in the panel data is assumed to be either finite or infinite. Second, each group is assumed to have different types of nonstochastic and stochastic components. Third, the time series spans for the groups are assumed to be all different. Fourth, the alternative where some groups have a unit root and others do not can be dealt with by the tests. The tests can also be used for the null of stationarity and for cointegration, once relevant changes are made in the model, hypotheses, assumptions and underlying tests. The main idea for our unit root tests is to combine p-values from a unit root test applied to each group in the panel data. Combining p-values to formulate tests is a common practice in meta-analysis. This paper also reports the finite sample performance of our combination unit root tests and Im et al.'s [Mimeo (1995)] t-bar test. The results show that most of the combination tests are more powerful than the t-bar test in finite samples. Application of the combination unit root tests to the post-Bretton Woods US real exchange rate data provides some evidence in favor of the PPP hypothesis. [C] 2001 Elsevier Science Ltd. All rights reserved. JEL classification: C33 Keywords: Unit root test; Panel data; Meta-analysis: Purchasing power parity
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Forecasting real exchange rates
Article Abstract:
Substantial evidence sustains the belief that real exchange rates do not possess unit roots but instead demonstrate mean reversion. Longer time horizons enhance the performance of the approximated forecast models in relation to the standard driftless random walks. Longer estimation durations especially enhance performance in relation to the benchmark. The forecasting power in simple statistical model appears authentic, however, the models resolve only a modest part of the uncertainty concerning the revolution of real exchange rates.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Irish macroeconomic performance under different exchange rate regimes. The convergence performance of Ireland among EU countries: 1960 to 1990
- Abstracts: The specification of money demand, fiscal policy, and exchange rate dynamics. Calibration and real business cycle models: an unothodox experiment
- Abstracts: Performance Standards and Incentive Pay in Agency Contracts. Labour Taxation in a Unionised Economy with Home Production
- Abstracts: Communication-proof equilibria in cheap-talk games. Coordination and learning with a partial language. An experimental investigation of optimal learning in coordination games
- Abstracts: The disposition effect in securities trading: an experimental analysis. Acquisition of costly information: and experimental study