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Joakim Westerlund. Photo.

Joakim Westerlund

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

Joakim Westerlund. Photo.

A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends

Author

  • Joakim Westerlund

Summary, in English

Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially reduced by the use of bias-adjustment. It also investigates the local power of the bias-adjusted test, which is shown to suffer from the same incidental trends problem previously only documented for conventional tt-tests.

Department/s

  • Department of Economics

Publishing year

2014

Language

English

Pages

160-163

Publication/Series

Economics Letters

Volume

125

Issue

2

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • Unit root test
  • Panel data
  • Incidental trends
  • Bias correction
  • Local asymptotic power

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1765