Misleading Inferences from Panel Unit‐Root Tests with an Illustration from Purchasing Power Parity

By J. Breuer, R. Mcnown, Myles Wallace. 2001

247 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fe284d7a55e13c0ea6730f7dc0a8d61bf51a1b0b

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. Russell Smyth *
2. Muhammad Shahbaz
3. Chien‐Chiang Lee
4. Ilhan Ozturk
5. Yi-Bin Chiu
6. Chi‐Chuan Lee
7. Y. Wolde‐Rufael
8. J. Alba

In Management Science and Operations Research

1. Yi-Bin Chiu
2. Russell Smyth *
3. Christoph Hanck
4. Chien‐Chiang Lee
5. László Kónya
6. David H. Papell
7. Chi‐Chuan Lee

Citations in the corpus

• An Intersection Test for Panel Unit Roots (2013, methodology): “This would not be achieved by the widely applied strategy to reject for all those time series unit root tests statistics that exceed some fixed level-α critical value, as this latter approach ignores the multiple testing nature of the problem.2 The next section develops the new test.”
• The link between life insurance activities and economic growth: Some new evidence (2013, methodology): “Critical values are calculated using the Monte Carlo simulation with 10,000 draws, tailored to the present sample size (For details of this simulation, see Breuer et al., 2001).”
• Exports and growth: Granger causality analysis on OECD countries with a panel data approach (2006, methodology): “…is based on cross-country rank correlation coefficients, the second applies cross-sectional regression analysis, and the third uses A similar approach is recommended by Breuer et al. (2001) and Enders (2004) for panel unit-root testing.1 3 time series techniques on a country-by-country basis.”
• Purchasing power parity and country characteristics: Evidence from panel data tests (2007, background): “13 The implication of this issue for our results is that, for example, we cannot conclude that PPP necessarily 13 Breuer, McNown, and Wallace (2001) discuss this issue. holds for all 21 real exchange rates of the countries closest to the United States.”
• Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production (2013, methodology): “Studies examining the integration properties of energy consumption and production Study Coverage Energy Type Unit Root Test/Findings Narayan & Smyth [1] 182 countries, 1979-2000 (annual data) Energy consumption per capita (a)Dickey-Fuller [25] ADF unit root test– 31% of countries stationary (b) Im e”