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A simple test for nonstationarity in mixed panels: A further investigation

Westerlund, Joakim 2016, A simple test for nonstationarity in mixed panels: A further investigation, Journal of statistical planning and inference, vol. 173, pp. 1-30, doi: 10.1016/j.jspi.2016.01.004.

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Title A simple test for nonstationarity in mixed panels: A further investigation
Author(s) Westerlund, Joakim
Journal name Journal of statistical planning and inference
Volume number 173
Start page 1
End page 30
Total pages 30
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-06
ISSN 0378-3758
Keyword(s) unit root test
Panel data
Local asymptotic power
Summary The test of Ng (2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of cross-section units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.
Language eng
DOI 10.1016/j.jspi.2016.01.004
Field of Research 0104 Statistics
150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30081361

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