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What would Nelson and Plosser find had they used panel unit root tests?
- Source :
- Applied Economics, Applied Economics, Taylor & Francis (Routledge), 2010, 42 (12), pp.1515-1531. ⟨10.1080/00036840701721539⟩
- Publication Year :
- 2010
- Publisher :
- Informa UK Limited, 2010.
-
Abstract
- International audience; In this study, we systemically apply nine recent panel unit root tests to the same fourteen macroeconomic and financial series as those considered in the seminal paper by Nelson and Plosser (1982). The data cover OECD countries from 1950 to 2003. Our results clearly point out the difficulty that applied econometricians would face when they want to get a simple and clear-cut diagnosis with panel unit root tests. We confirm the fact that panel methods must be very carefully used for testing unit roots in macroeconomic or financial panels. More precisely, we find mitigated results under the cross-sectional independence assumption, since the unit root hypothesis is rejected for many macroeconomic variables. When international cross-correlations are taken into account, conclusions depend on the specification of these cross-sectional dependencies. Two groups of tests can be distinguished. The first group tests are based on a dynamic factor structure or an error component model. In this case, the non stationarity of common factors (international business cycles or growth trends) is not rejected, but the results are less clear with respect to idiosyncratic components. The second group tests are based on more general specifications. Their results are globally more favourable to the unit root assumption.
- Subjects :
- Panel Unit Root Tests
Economics and Econometrics
Statistical assumption
Economics
Unit Root Tests
Panel Data
Unit (housing)
Group tests
0502 economics and business
Statistics
ddc:330
Econometrics
Social Sciences & Humanities
050207 economics
Economic Statistics, Econometrics, Business Informatics
050208 finance
05 social sciences
Wirtschaft
Oecd countries
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
Non stationarity
Dynamic factor
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Unit root
Panel data
Subjects
Details
- ISSN :
- 14664283 and 00036846
- Volume :
- 42
- Database :
- OpenAIRE
- Journal :
- Applied Economics
- Accession number :
- edsair.doi.dedup.....a27e1d323cc5fee6cddf63338b5db6d0