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

Research output: Contribution to journalArticle

Abstract

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.

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Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • Panel data, Unit root test
Original languageEnglish
Pages (from-to)517-531
JournalEmpirical Economics
Volume37
Issue number3
Publication statusPublished - 2009
Publication categoryResearch
Peer-reviewedYes