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A note on the use of the LLC panel unit root test

Westerlund, Joakim 2009, A note on the use of the LLC panel unit root test, Empirical economics, vol. 37, no. 3, pp. 517-531, doi: 10.1007/s00181-008-0244-8.

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Title A note on the use of the LLC panel unit root test
Author(s) Westerlund, Joakim
Journal name Empirical economics
Volume number 37
Issue number 3
Start page 517
End page 531
Total pages 15
Publisher Springer
Place of publication New York, N.Y.
Publication date 2009
ISSN 0377-7332
Keyword(s) Panel data
Unit root test
Social Sciences
Economics
Social Sciences, Mathematical Methods
Business & Economics
Mathematical Methods In Social Sciences
PURCHASING POWER PARITY
COINTEGRATION
Summary One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin et al. in J Econom 98:1 - 24, 2002), in which the authors propose a test for a common unit root in the panel. Using both theoretical arguments and simulation evidence, we show that this test can be misleading unless it is based on the same bandwidth selection rule used by LLC. © Springer-Verlag 2008.
Language eng
DOI 10.1007/s00181-008-0244-8
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 ©2009, Springer
Persistent URL http://hdl.handle.net/10536/DRO/DU:30077848

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