A simple panel stationarity test in the presence of serial correlation and a common factor

A simple panel stationarity test in the presence of serial correlation and a common factor

This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation. ► In this paper, we develop a simple panel stationarity t...

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Veröffentlicht in:Economics letters 2012-04, Vol.115 (1), p.31-34
Hauptverfasser: Hadri, Kaddour, Kurozumi, Eiji
Format: Artikel
Sprache:eng
Schlagworte:
Common factor
Correlation
Correlation analysis
Cross-sectional dependence
Economic models
Hypothesis testing
KPSS test
Panel data
Stationarity
Studies
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Zusammenfassung:This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation. ► In this paper, we develop a simple panel stationarity test. ► The test allows for serial correlation and cross-sectional dependence in the form of a common factor. ► Our test performs well in many instances.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2011.11.036