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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions

Author

  • Joakim Westerlund
  • Mehdi Hosseinkouchack

Summary, in English

In an influential paper Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007) proposes two unit root tests for panels with a common factor structure. These are the CADF and CIPS test statistics, which are amongst the most popular test statistics in the literature. One feature of these statistics is that their limiting distributions are highly nonstandard, making for relatively complicated implementation. In this paper we take this feature as our starting point to develop modified CADF and CIPS test statistics that support standard chi-squared and normal inference.

Department/s

  • Department of Economics

Publishing year

2016-06

Language

English

Pages

347-364

Publication/Series

Oxford Bulletin of Economics and Statistics

Document type

Journal article

Publisher

Wiley-Blackwell

Topic

  • Probability Theory and Statistics

Keywords

  • common factor.
  • unit toot test
  • Panel data

Status

Published

ISBN/ISSN/Other

  • ISSN: 1468-0084