Lessons from a decade of IPS and LLC

Westerlund, Joakim and Breitung, Jorg 2013, Lessons from a decade of IPS and LLC, Econometric reviews, vol. 32, no. 5-6, pp. 547-591.

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Title Lessons from a decade of IPS and LLC
Author(s) Westerlund, Joakim
Breitung, Jorg
Journal name Econometric reviews
Volume number 32
Issue number 5-6
Start page 547
End page 591
Total pages 45
Publisher Routledge Taylor & Francis Group
Place of publication Abingdon, England
Publication date 2013
ISSN 0747-4938
1532-4168
Keyword(s) cross-section dependence
multidimensional limits
non-stationary panel data
unit root tests
Summary This paper points to some of the facts that have emerged from 20 years of research into the analysis of unit roots in panel data, an area that has been heavily influenced by two studies, IPS (Im, Pesaran, and Shin, 2003) and LLC (Levin et al., 2002). Some of these facts are known, others are not. But they all have in common that, if ignored, the effects can be very serious. This is demonstrated using both simulations and theoretical arguments.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2013, Routledge
Persistent URL http://hdl.handle.net/10536/DRO/DU:30057326

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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