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 |
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| container_start_page | 31 |
| container_title | Economics letters |
| container_volume | 115 |
| creator | Hadri, Kaddour Kurozumi, Eiji |
| description | 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. |
| doi_str_mv | 10.1016/j.econlet.2011.11.036 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 2012-04, Vol.115 (1), p.31-34 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1021120687 |
| source | Elsevier ScienceDirect Journals Complete |
| subjects | Common factor Correlation Correlation analysis Cross-sectional dependence Economic models Hypothesis testing KPSS test Panel data Stationarity Studies |
| title | A simple panel stationarity test in the presence of serial correlation and a common factor |
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