More powerful panel data unit root tests with an application to mean reversion in real exchange rates

L. Vanessa Smith, Stephen Leybourne, Tae Hwan Kim, Paul Newbold

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129 Citations (Scopus)

Abstract

Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected.

Original languageEnglish
Pages (from-to)147-170
Number of pages24
JournalJournal of Applied Econometrics
Volume19
Issue number2
DOIs
Publication statusPublished - 2004 Mar 1

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All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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