A New Look at Panel Testing of Stationarity and the PPP Hypothesis
By Jushan Bai, Serena Ng. 2001
78 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ba51c2d50ead789db8460f0ede0830067384806e
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
- Russell Smyth *
- Muhammad Shahbaz
- M. Pesaran
- Josep Lluís Carrion‐i‐Silvestre
- J. Urbain
- Franz C. Palm
- Jushan Bai
- C. Gengenbach
In Finance
- M. Pesaran
- J. Urbain
- Franz C. Palm
- Russell Smyth *
- Josep Lluís Carrion‐i‐Silvestre
- C. Gengenbach
- Joerg Breitung
- Jushan Bai
Citations in the corpus
- A Principal Components Approach to Cross-Section Dependence in Panels (2002, background): “, J are orthogonal to each other and λij and γij are N(1, 1) variates.”
- Unit Roots and Cointegration in Panels (2005, background): “But in cases where ni and N are small such that Σi=1ni is less than 10, and T is relatively large (T > 100), as noted by Banerjee, Marcellino and Osbat (2004), many of these problems can be avoided by applying the system cointegration techniques to the pooled vector, zt = (z ′ 1t, z ′ 2t, .”
- Structural changes, common stochastic trends and unit roots in panel data (2004, methodology): “As mentioned in Bai and Ng (2001), this way of pooling can drive to unsatisfactory results, speci…cally when the asymptotic distribution of the individual tests is skewed, as this is the case.”
- Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries (2009, methodology): “As noted by Bai and Ng (2004), for many applications in economics it is more natural to take stationarity as the null hypothesis, rather than non-stationarity. The second limitation is that none of these tests accommodate structural breaks, which are likely to be a feature of energy consumption per ”
- Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling (2009, methodology): “If there are K > 1 common factors, Bai and Ng (2004) suggest an iterative procedure, comparable to the Johansen trace test for cointegration to select k1.”