A simple test for nonstationarity in mixed panels with incidental trends

Westerlund, Joakim 2014, A simple test for nonstationarity in mixed panels with incidental trends, Economics letters, vol. 125, no. 2, pp. 160-163, doi: 10.1016/j.econlet.2014.09.003.

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Title A simple test for nonstationarity in mixed panels with incidental trends
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Economics letters
Volume number 125
Issue number 2
Start page 160
End page 163
Total pages 4
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2014-11
ISSN 0165-1765
Keyword(s) bias correction
incidental trends
local asymptotic power
panel data
unit root test
Summary Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially reduced by the use of bias-adjustment. It also investigates the local power of the bias-adjusted test, which is shown to suffer from the same incidental trends problem previously only documented for conventional t-tests.
Language eng
DOI 10.1016/j.econlet.2014.09.003
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30077706

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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