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

doi:10.1002/jae.723

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

Department of Economics

Research output: Contribution to journal › Article › peer-review

177 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 language	English
Pages (from-to)	147-170
Number of pages	24
Journal	Journal of Applied Econometrics
Volume	19
Issue number	2
DOIs	https://doi.org/10.1002/jae.723
Publication status	Published - 2004 Mar

All Science Journal Classification (ASJC) codes

Social Sciences (miscellaneous)
Economics and Econometrics

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10.1002/jae.723

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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.",

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

Abstract

All Science Journal Classification (ASJC) codes

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