A Simple Test for Nonstationarity in Mixed Panels
Bibliographic Data
| ID | 19418211 |
|---|---|
| Authors | Serena Ng (0000-0003-2684-364X, University of Michigan, corresponding author) |
| Year | 2008 |
| Volume | 26 |
| Issue | 1 |
| Pages | 113-127 |
| Publication date | 2008-01-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500106000000675 |
| OpenAlex | W1976892511 |
| Language | EN |
| Citations received | 1 |
| References cited | 26 |
This article proposes a simple estimator that is consistent for the fraction of a panel that has an autoregressive unit root. Given such an estimate, , we can test the null hypothesis that θ = θ0 for any value of θ0 ε (0, 1]. The test is asymptotically standard normal and is valid whether or not the panel is cross-sectionally correlated. The main insight is that in a panel in which some units are stationary and some have unit roots, the cross-sectional variance of the mixed panel is dominated by a linear trend that grows at rate θ, where θ is precisely the fraction of the panel with a unit root. Averaging the change in cross-sectional variance over time then gives a consistent estimate of θ as N, T → ∞. Simulations show that the estimator has good finite-sample properties when T ≥ 100, even with N as small as 30
Autoregressive model · Cointegration · Econometrics · Economics · Estimator · Null hypothesis · Panel data · Statistics · Unit root · Unit root test · Economic Growth and Productivity · Mathematics · Monetary Policy and Economic Impact · Spatial and Panel Data Analysis · Applied Mathematics
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| Citations per year | 0.25 |
|---|---|
| Citation span | 2022 - 2022 (1) |
| Highly cited | No |