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Lessons from a decade of IPS and LLC

journal contribution
posted on 2013-01-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, J Breitung
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.

History

Journal

Econometric reviews

Volume

32

Issue

5-6

Pagination

547 - 591

Publisher

Routledge Taylor & Francis Group

Location

Abingdon, England

ISSN

0747-4938

eISSN

1532-4168

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2013, Routledge