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

Research output: Contribution to journalArticle

124 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

Fingerprint

trend
Bootstrap
Mean reversion
Real exchange rate
Panel data
Cross-correlation
Unit root tests

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Cite this

Vanessa Smith, L. ; Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul. / More powerful panel data unit root tests with an application to mean reversion in real exchange rates. In: Journal of Applied Econometrics. 2004 ; Vol. 19, No. 2. pp. 147-170.
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More powerful panel data unit root tests with an application to mean reversion in real exchange rates. / Vanessa Smith, L.; Leybourne, Stephen; Kim, Tae-Hwan; Newbold, Paul.

In: Journal of Applied Econometrics, Vol. 19, No. 2, 01.03.2004, p. 147-170.

Research output: Contribution to journalArticle

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