Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Ltd.
Review of international economics
9 (2001), S. 0
ISSN:
1467-9396
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
Simulations demonstrate that when unit-root behavior is rejected in a Levin and Lin panel test, it is incorrect to infer that all series are stationary. Recent tests proposed by Im, Pesaran and Shin, and by Sarno and Taylor, are also incapable of determining the mix of I(0) and I(1) series in a panel setting. This paper introduces a new unit-root test that allows the researcher to discern which series are I(0) and which ones are I(1). The test has double to triple the power of single-equation augmented Dickey–Fuller tests.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9396.00294
Permalink
|
Location |
Call Number |
Expected |
Availability |