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A note on the use of the LLC panel unit root test
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.
History
Journal
Empirical economicsVolume
37Pagination
517-531Location
New York, N.Y.Publisher DOI
ISSN
0377-7332Language
engPublication classification
C Journal article, C1.1 Refereed article in a scholarly journalCopyright notice
2009, SpringerIssue
3Publisher
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Categories
Keywords
Panel dataUnit root testSocial SciencesEconomicsSocial Sciences, Mathematical MethodsBusiness & EconomicsMathematical Methods In Social SciencesPURCHASING POWER PARITYCOINTEGRATION150202 Financial Econometrics919999 Economic Framework not elsewhere classifiedDepartment of EconomicsCentre for Economics and Financial Econometrics Research
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