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A note on the use of the LLC panel unit root test

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Author

Summary, in English

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.

Publishing year

2009

Language

English

Pages

517-531

Publication/Series

Empirical Economics

Volume

37

Issue

3

Document type

Journal article

Publisher

Physica Verlag

Topic

  • Economics

Keywords

  • Panel data
  • Unit root test

Status

Published

ISBN/ISSN/Other

  • ISSN: 0377-7332