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

Vanessa Smith; Stephen Leybourne; Tae-Hwan Kim; Paul Newbold

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

Vanessa Smith, Stephen Leybourne, Tae-Hwan Kim, Paul Newbold

Economics

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

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
Journal	Journal of Applied Econometrics
Volume	19
Issue number	2
Publication status	Published - 2004

Access to Document

http://onlinelibrary.wiley.com/doi/10.1002/jae.723/pdf

Cite this

@article{c5ec18202b4d4807b0c70c5b8721e030,

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

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.",

author = "Vanessa Smith and Stephen Leybourne and Tae-Hwan Kim and Paul Newbold",

year = "2004",

language = "English",

volume = "19",

pages = "147--170",

journal = "Journal of Applied Econometrics",

issn = "0883-7252",

publisher = "Wiley-Blackwell",

number = "2",

}

TY - JOUR

T1 - More powerful panel data unit root tests with an application to mean reversion in real exchange rates

AU - Smith, Vanessa

AU - Leybourne, Stephen

AU - Kim, Tae-Hwan

AU - Newbold, Paul

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

M3 - Article

SN - 0883-7252

VL - 19

SP - 147

EP - 170

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

IS - 2

ER -