A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskriftPeer review

Sammanfattning

Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially reduced by the use of bias-adjustment. It also investigates the local power of the bias-adjusted test, which is shown to suffer from the same incidental trends problem previously only documented for conventional tt-tests.
Originalspråkengelska
Sidor (från-till)160-163
TidskriftEconomics Letters
Volym125
Utgåva2
DOI
StatusPublished - 2014

Ämnesklassifikation (UKÄ)

  • Nationalekonomi

Fingeravtryck

Utforska forskningsämnen för ”A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends”. Tillsammans bildar de ett unikt fingeravtryck.

Citera det här