Testing for unit roots in heterogeneous panels

By K. Im, M. Pesaran, Yongcheol Shin. 2003

15,018 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a3d22a37dacb3be5482b7f8b5e866e81adf3b342

How researchers see this paper

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

In Economics and Econometrics

1. Muhammad Shahbaz
2. Ilhan Ozturk
3. Avik Sinha
4. Anis Omri
5. Sakiru Adebola Solarin
6. N. Apergis
7. Usama Al-mulali
8. Russell Smyth *

In Finance

1. Muhammad Shahbaz
2. Ilhan Ozturk
3. Jushan Bai
4. Rangan Gupta
5. Sakiru Adebola Solarin
6. Russell Smyth *
7. Paresh Kumar Narayan
8. Serena Ng

Citations in the corpus

• A panel study of nuclear energy consumption and economic growth (2010, methodology): “Specifically, the Im et al. (2003) panel unit root test averages the augmented Dickey-Fuller (ADF) unit root tests while allowing for different orders of serial correlation, εit = ∑pij = 1ϕijεit−j + uit , yielding the following expression: yit = ρiyit−1 + ∑ pi j = 1ϕijεit−j + δiXit + εit ð1Þ where…”
• Urbanization and city growth: The role of institutions (2007, methodology): “While we more fully develop the error structure for city growth equations in Section 4, here we simply report on standard tests for unit roots under the hypotheses that β=0 in a model where Δln city popi (t)=di+β ln city popi (t−1)+θt+εit for city i (Im et al., 2003; Levin et al., 2002).”
• The impact of climate change on Caribbean tourism demand (2010, methodology): “The tests for unit roots are done using the Im, Pesaran and Shin (2003) W -stat.”
• Testing for Purchasing Power Parity in Cointegrated Panels (2007, neutral): “Most of the literature regarding both testing (panel-unit-root tests as well as panel-cointegration tests) and estimation, such as Pedroni (1995), Phillips and Moon (1999), Levin et al. (2002), Im et al. (2003) , relies on this assumption which is highly unlikely to be ful…lled in practice.5”
• Time-Series-Cross-Section Issues: Dynamics, 2004 (2004, background): “There is much recent work on non-stationary models ( Im, Pesaran and Shin, 2003; Levin,”
• Series-specific Unit Root Tests with Panel Data* (2002, neutral): “The conclusions from panel studies should also be regarded as only weakly supportive of PPP since the extant panel studies (including tests presented by Im et al. (1997) Maddala and Wu (1997), and Taylor and Sarno’s (1998) MADF test) are tests of a joint hypothesis that all real exchange rates in th”