Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling

240 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Local Power of the CADF and CIPS Panel Unit Root Tests (2016, background): “Strangely enough, however, while the smallsample properties of these tests has been heavily scrutinized (see, for example, Gengenbach et al., 2009; De Silva et al., 2009; Pesaran, 2007), as far as we are aware nothing is known regarding local power.”
Panel cointegration with global stochastic trends (2008, methodology): “i=1 ( x ′ iM b F y + i − T (̂̄ ∆+εui − ̂̄δi ̂̄ ∆+ηu)) (16)”
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION (2009, background): “Gengenbach, Palm, and Urbain (2009) also compared the MP tests with PANIC but also for p = 0 only.”
Unit Roots and Cointegration in Panels (2005, unknown): “The results of Gengenbach et al. (2004) also suggest that the approach of Bai and Ng (2004a) is able to cope with this possibility although the power of the unit test applied to the nonstationary component is not very high.”