Unit root tests for panel data

Choi, In

doi:10.1016/s0261-5606(00)00048-6

Cited by 3,227 publications

(1,880 citation statements)

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“…The first step is to use apply a range of panel unit root tests (the Levin, Lin and Chu 2002 test; the Im, Pesaran and Shin, 2003 W-Stat; and two Fisher-type tests using ADF and PP tests from Maddala and Wu, 1999;and Choi, 2001). The results for each one of our five variables are reported in Table 4, where all the tests have a unit root under the null hypothesis.…”

Section: Unit Roots and Panel Cointegration Testsmentioning

confidence: 99%

A panel data investigation of real exchange rate misalignment and growth

Vieira

MacDonald

2012

Estud. Econ.

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The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects) for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples, which means that a more depreciated (appreciated) real exchange rate helps (harms) long-run growth. The estimated coefficients are higher for developing and emerging countries. Keywords Palavras-Chavecrescimento econômico, desalinhamento da taxa de câmbio real, análise de painel

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Section: Unit Roots and Panel Cointegration Testsmentioning

confidence: 99%

A panel data investigation of real exchange rate misalignment and growth

Vieira

MacDonald

2012

Estud. Econ.

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“…Furthermore, the listed studies also often use the Breitung (2000), and the Fisher-type ADF and PP tests (see Choi, 2001;Maddala and Wu, 1999) to test for unit roots. In addition, the long-run relationship between energy consumption and GDP, which is commonly confirmed by means of the already mentioned Pedroni (1999Pedroni ( , 2004 test, is almost always estimated with fully modified OLS (FMOLS) as suggested in Pedroni (2000).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Specifically, the Levin et al (2002) Choi, 2001;Maddala and Wu, 1999) that assume individual unit root processes are applied. Without exception, all unit root tests assume non-stationarity under the null hypothesis.…”

Section: Unit Root Testsmentioning

confidence: 99%

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Energy Consumption and Economic Growth Revisited: Structural Breaks and Cross-Section Dependence

Dobnik

2011

SSRN Journal

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“…Since we use micropanel data where the cross-section dimension far exceeds the 352 time-series dimension (i.e., we have many more firms than years), we used a Fisher-353 type (Choi 2001) test which has as null hypothesis that all the panels contain a unit 354 root to test the stationarity of the variables in the model. 7 362 Firms with negative equity were also excluded from the sample, which are firms 363 that are technically in bankruptcy, and those firms with lack of information for the 364 empirical analysis (Booth et al 2001).…”

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confidence: 99%