Unit Root Tests for Dependent Micropanels

Choi, In

doi:10.1111/jere.12170

Cited by 6 publications

(2 citation statements)

References 64 publications

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“…Cross-sectional dependency in panel data analysis might lead to incorrect estimation results ( 65 ). The Pesaran CD test, which is valid for either a constant T or a constant N, will be used in this investigation.…”

Section: Methods and Data Sourcesmentioning

confidence: 99%

Does Green Governance Efficiency and Green Finance Polices Matters in Sustainable Environment: Implications for Public Health

Zhu

2022

Front. Public Health

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Rapid and widespread changes in the environment and climate, such as rising temperatures, water and air pollution, floods, and droughts, disease vector migration are putting human health at risk. In this case, green governance is an essential driver for the restructuring of economic development and realizing a green technological revolution for sustainable development and its implications for public health. This article aims to explore the effects and interrelationships of green governance and green finance policies on sustainable development in various regions of China's from 2008 to 2018 using panel data estimation technique. The findings show that China's overall green governance index and green finance policies resulted in a substantial decrease in environmental pollution during the study time. Financial inclusion also be a factor to the reduction of CO2 emissions and has a positive influence on environmental security investment projects, according to our findings. China is on track to become a world leader in an enactment of green finance concept, and controllers must speed up the development of green finance products and strengthen financial institutions' ability to provide green credit. Policymakers should promote green governance and green fiancé to keenly play a part in environmental security projects that boost green spending while minimizing the procedural risk.

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Section: Methods and Data Sourcesmentioning

confidence: 99%

Does Green Governance Efficiency and Green Finance Polices Matters in Sustainable Environment: Implications for Public Health

Zhu

2022

Front. Public Health

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“…Most of the existing literature dealing with the properties of panel unit root tests focuses on the comparison of a few most commonly used panel unit root tests, mainly the Im, Pesaran and Shin test and Levin, Lin and Chu test [9,13,15,26]. In addition, asymptotical power and size are studied in most cases, especially in the papers introducing individual unit root tests, and the discussion of finite sample properties tends to focus on datasets with larger cross-sectional (N ) and time (T ) dimensions [20,6]. In practice, however, many investigated data sets involve smaller N or T dimensions.…”

Section: Introductionmentioning

confidence: 99%

A Monte Carlo study on the size and power of panel unit root tests

Mravak

2023

Croat. oper. res. rev. (Online)

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The aim of this paper is to explore the properties of various panel unit root tests in terms of their power and size regarding different panel data structures, with a special focus on small data samples. In particular, different values of the cross-sectional and time dimensions for both heterogeneous and homogeneous data settings with intercept and with and without time trend are observed. We examine and compare the results of five commonly used first-generation panel unit root tests: Levin, Lin and Chu test, Im Pesaran and Shin test, Harris–Tzavalis test, Breitung test and a Fischer type test. The results are derived using Monte Carlo simulations and show that all the observed panel unit root tests suffer from a serious lack of power and tend to either over or under reject the null hypothesis when the time dimensions are small. It is evident that the results of conducting panel unit root tests for data with T<30 are erroneous and unreliable, and it is therefore concluded that panel unit root tests should not be conducted for such samples in the first place. This is even more pronounced when there is a time trend or heterogeneity.

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Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels

Choi

Jung

2021

Empir Econ

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This paper proposes new estimators for the panel autoregressive (PAR) model of order 1 with short time dimensions and large cross sections. These estimators are based on the cross-sectional regression model using the first time series observations as a regressor and the last as a dependent variable. The regressors and errors of this regression model are correlated. The first estimator is the quasi-maximum likelihood estimator (QMLE). The second estimator is the bias-corrected pooled least squares estimator (BCPLSE) that eliminates the asymptotic bias of the pooled least squares estimator by using the QMLE. The QMLE and BCPLSE are extended to the PAR model with endogenous regressors. The QMLE and BCPLSE provide consistent estimates of the PAR coefficients for stationary, unit root and explosive PAR models and consistently estimate the coefficients of endogenous regressors. Their finite sample properties are compared with those of some other estimators for the PAR model of order 1. This paper's estimators are shown to perform quite well in finite samples. This paper is an expanded and revised version of the first author's paper entitled as "Cross-sectional maximum likelihood and bias-corrected pooled least squares estimators for dynamic panels with short T ." Some results in this paper were presented at the 22nd Panel Data conference held in Perth, Australia in 2016. The author thanks the participants, especially Stéphanne Bonhomme, for helpful comments. This paper was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2015S1A5A2A01009333). We thank Joakim Westerlund and two anonymous referees for constructive comments on this paper.

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Unit Root Tests for Dependent Micropanels

Cited by 6 publications

References 64 publications

Does Green Governance Efficiency and Green Finance Polices Matters in Sustainable Environment: Implications for Public Health

Does Green Governance Efficiency and Green Finance Polices Matters in Sustainable Environment: Implications for Public Health

A Monte Carlo study on the size and power of panel unit root tests

Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels

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