Truncated Product Methods for Panel Unit Root Tests

Xuguang Simon Sheng and Jingyun Yang ()
Additional contact information
Jingyun Yang: Pennsylvania State University

No 2013-004, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: This paper proposes three new panel unit root tests based on Zaykin et al. (2002)’s truncated product method. The first one assumes constant correlation between p-values and the latter two use sieve bootstrap that allows for general forms of cross-section dependence in the panel units. Monte Carlo simulation shows that these tests have reasonably good size, are robust to varying degrees of cross-section dependence and are powerful in cases where there are some very large p-values. The proposed tests are applied to a panel of real GDP and inflation density forecasts and provide evidence that professional forecasters may not update their forecast precision in an optimal Bayesian way.

Keywords: Density Forecast; Panel Unit Root; P-value; Sieve Bootstrap; Truncated Product Method (search for similar items in EconPapers)
JEL-codes: C12 C33 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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https://www2.gwu.edu/~forcpgm/2013-004.pdf First version, 2013 (application/pdf)

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Journal Article: Truncated Product Methods for Panel Unit Root Tests (2013)
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