Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions
Author
Summary, in English
In an influential paper Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007) proposes two unit root tests for panels with a common factor structure. These are the CADF and CIPS test statistics, which are amongst the most popular test statistics in the literature. One feature of these statistics is that their limiting distributions are highly nonstandard, making for relatively complicated implementation. In this paper we take this feature as our starting point to develop modified CADF and CIPS test statistics that support standard chi-squared and normal inference.
Department/s
Publishing year
2016-06
Language
English
Pages
347-364
Publication/Series
Oxford Bulletin of Economics and Statistics
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Probability Theory and Statistics
Keywords
- common factor.
- unit toot test
- Panel data
Status
Published
ISBN/ISSN/Other
- ISSN: 1468-0084