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A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation

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Author

Summary, in English

The test of Ng (A simple test for nonstationarity in mixed panels, Journal of Business & Economic Statistics 26, 113–126, 2008) is one of the few that enables general inference regarding the proportion of non-stationary units in panel data. The current paper furthers the investigation of Ng (2008) in two directions. First, the existing sequential limit analysis is generalized to a very flexible asymptotic framework in which the number of time periods, T, can be either fixed or tending to infinity jointly with the number of crosssection units, N. Second, the test statistic is evaluated not only under the null hypothesis, but also under alternatives that can be either fixed or local.

Publishing year

2016-06-01

Language

English

Publication/Series

Journal of Statistical Planning and Inference

Volume

173

Document type

Journal article

Publisher

North-Holland, Elsevier

Topic

  • Economics

Keywords

  • Local asymptotic power
  • Panel data
  • Unit root test

Status

Published

ISBN/ISSN/Other

  • ISSN: 1873-1171