Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel

H. R. Moon, B. Perron

Research output: Contribution to journalArticle

22 Citations (Scopus)

Abstract

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classification on the basis of n individual (univariate) unit root tests based on some ad hoc significance level. In this paper, we suggest and demonstrate how to use the false discovery rate (FDR) in evaluating I(1)I(0) classifications.

Original languageEnglish
Pages (from-to)29-33
Number of pages5
JournalJournal of Econometrics
Volume169
Issue number1
DOIs
Publication statusPublished - 2012 Jul 1

Fingerprint

Unit Root Tests
Multiple Testing
Nonstationarity
Series
Testing
Significance level
Unit Root
Rejection
Null hypothesis
Univariate
Demonstrate
Panel unit root tests
Ad hoc
Unit root tests
Unit root

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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Beyond panel unit root tests : Using multiple testing to determine the nonstationarity properties of individual series in a panel. / Moon, H. R.; Perron, B.

In: Journal of Econometrics, Vol. 169, No. 1, 01.07.2012, p. 29-33.

Research output: Contribution to journalArticle

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