Reflections on “Testing for Unit Roots in Heterogeneous Panels"

Yongcheol Shin; M. Hashem Pesaran; Kyung So Im

doi:10.1016/j.jeconom.2023.01.022

Reflections on “Testing for Unit Roots in Heterogeneous Panels"

Yongcheol Shin, M. Hashem Pesaran, Kyung So Im

Economics

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

Abstract

This article is our personal perspective on the IPS test and the subsequent developmentsof unit root and cointegration tests in dynamic panels with and without cross-sectiondependence. In this note, we discuss the main idea behind the test and the publicationprocess that led to Im et al. (2003).

Original language	English
Number of pages	4
Journal	Journal of Econometrics
DOIs	https://doi.org/10.1016/j.jeconom.2023.01.022
Publication status	Published - 12 Jan 2023

Keywords

Dickey and Fuller statistic
Stationarity
panel unit root tests
prevalence of unit roots

Access to Document

10.1016/j.jeconom.2023.01.022

Cite this

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abstract = "This article is our personal perspective on the IPS test and the subsequent developmentsof unit root and cointegration tests in dynamic panels with and without cross-sectiondependence. In this note, we discuss the main idea behind the test and the publicationprocess that led to Im et al. (2003).",

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author = "Yongcheol Shin and Pesaran, {M. Hashem} and Im, {Kyung So}",

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AU - Im, Kyung So

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AB - This article is our personal perspective on the IPS test and the subsequent developmentsof unit root and cointegration tests in dynamic panels with and without cross-sectiondependence. In this note, we discuss the main idea behind the test and the publicationprocess that led to Im et al. (2003).

KW - Dickey and Fuller statistic

KW - Stationarity

KW - panel unit root tests

KW - prevalence of unit roots

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DO - 10.1016/j.jeconom.2023.01.022

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JO - Journal of Econometrics

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