Search Results

HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests for panel data

IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests for panel data

Multivariate unit root tests,
Renato Flôres, Pierre-Yves Preumont and Ariane Szafarz, from ULB -- Universite Libre de Bruxelles (1995)
Keywords: unit root; multivariate test; stationarity; panel data

Panel unit-root tests for heteroskedastic panels,
Helmut Herwartz, Simone Maxand, Fabian H. C. Raters and Yabibal Walle, in Stata Journal (2018)
Keywords: xtpurt, xtunitroot, panel unit-root tests, nonstationary volatility, cross-sectional dependence, inflation

BREITUNG: RATS procedure to perform Breitung test for unit roots in panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Panel unit root test

Panel LM unit root tests with level and trend shifts,
Junsoo Lee and Margie Tieslau, in Economic Modelling (2019)
Keywords: Panel unit root tests; LM test; Structural breaks; Trend breaks;

A Panel Unit Root Test with Good Power in Small Samples,
Claude Lopez, in Econometric Reviews (2009)
Keywords: Bootstrap test, GLS-detrending, Panel unit root test,

Performance of unit root tests in unbalanced panels: experimental evidence,
Verena Werkmann, in AStA Advances in Statistical Analysis (2013)
Keywords: Panel unit root test, Cross-sectional dependence, Unbalanced panels,

Missing Values in Panel Data Unit Root Tests,
Yiannis Karavias, Elias Tzavalis and Haotian Zhang, in Econometrics (2022)
Keywords: panel unit root tests; local power function; missing values; bias correction; unbalanced panel; structural breaks

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel,
Hyungsik Moon and Benoit Perron, from CIRANO (2011)
Keywords: False discovery rate, multiple testing, unit root tests, panel data.,

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel,
Hyungsik Moon and Benoit Perron, from Universite de Montreal, Departement de sciences economiques (2010)
Keywords: False discovery rate, Multiple testing, unit root tests, panel data

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non-Stationarity Properties of Individual Series in a Panel,
Hyungsik Moon and Benoit Perron, from Centre interuniversitaire de recherche en économie quantitative, CIREQ (2010)
Keywords: False discovery rate, Multiple testing, unit root tests, panel data

The effect of recursive detrending on panel unit root tests,
Joakim Westerlund, in Journal of Econometrics (2015)
Keywords: Unit root test; Panel data; Deterministic trend; Polynomial trend function; Recursive detrending;

Heteroskedasticity-robust unit root testing for trending panels,
Helmut Herwartz, Simone Maxand and Yabibal Walle, from University of Goettingen, Department of Economics (2017)
Keywords: panel unit root tests, nonstationary volatility, cross-sectional dependence, near epoch dependence, energy use per capita

Panel Unit Root Tests and Spatial Dependence,
Badi Baltagi, Georges Bresson and Alain Pirotte, from Center for Policy Research, Maxwell School, Syracuse University (2006)
Keywords: Nonstationarity, panel data, spatial dependence, cross-section correlation, unit root tests

Myths and Facts about Panel Unit Root Tests,
Joakim Westerlund and Jörg Breitung, from University of Gothenburg, Department of Economics (2009)
Keywords: Non-stationary panel data; Unit root tests; Cross-section dependence; Multidimensional limits

Asymptotically UMP Panel Unit Root Tests,
I.G. Becheri, Feike C. Drost and R. van den Akker, from Tilburg University, Center for Economic Research (2013)
Keywords: panel unit root test; Local Asymptotic Normality; limit experiment; asymptotic power envelope; information loss

Pooled Unit Root Tests in Panels with a Common Factor,
Joakim Westerlund, from Lund University, Department of Economics (2005)
Keywords: Pooled Unit Root Tests; Panel Data; Common Factor; Cross-Sectional Dependence; Monte Carlo Simulation.

Heteroskedasticity robust panel unit root tests,
Joakim Westerlund, from Deakin University, Department of Economics (2014)
Keywords: Unit root test, Panel data, Unconditional heteroskedasticity, GARCH, Crosssection dependence, Common factors

Panel Seasonal Unit Root Test With An Application for Unemployment Data,
Hans-Eggert Reimers and Christian Dreger, from Halle Institute for Economic Research (IWH) (2004)
Keywords: Panel seasonal unit root test, IPS-approach, Unemployment data

Sampling at different frequencies, and the power of panel unit root tests,
Luciano Gutierrez, in Economics Letters (2009)
Keywords: Sampling frequency Empirical power Panel unit root tests

Cross-sectional dependence robust block bootstrap panel unit root tests,
Franz Palm, Stephan Smeekes and Jean-Pierre Urbain, in Journal of Econometrics (2011)
Keywords: Block bootstrap Panel unit root test Cross-sectional dependence

A Nonlinear Panel Unit Root Test under Cross Section Dependence,
Mario Cerrato, Christian de Peretti, Rolf Larsson and Nicholas Sarantis, from Scottish Institute for Research in Economics (SIRE) (2011)
Keywords: Nonlinear panel unit root tests, cross sectional dependence,

New Panel Unit Root Tests under Cross Section Dependence for Practitioners,
Donggyu Sul, from University Library of Munich, Germany (2005)
Keywords: recursive detrending, panel unit root tests, cross section dependence

Persistence in Corporate Performance? Empirical Evidence from Panel Unit Root Tests,
Jan Bentzen, Erik Madsen, Valdemar Smith and Mogens Dilling-Hansen, in Empirica (2005)
Keywords: Corporate performance, persistence in profits, panel unit root tests, C3, L2,

Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests,
George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2004)
Keywords: Panel unit root tests, Factor models, Subspace algorithms

Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests,
Jan Bentzen, Erik Madsen, Valdemar Smith and Mogens Dilling-Hansen, from University of Aarhus, Aarhus School of Business, Department of Economics (2004)
Keywords: Corporate performance; Persistence in profits; Panel unit root tests

Testing for a Unit Root in a Random Coefficient Panel Data Model,
Joakim Westerlund and Rolf Larsson, from University of Gothenburg, Department of Economics (2009)
Keywords: Panel unit root test; Random coefficient autoregressive model

Pooled panel unit root tests and the effect of past initialization,
Joakim Westerlund, from Deakin University, Department of Economics (2014)
Keywords: Panel unit root test, Initial value, Local asymptotic power

A Nonlinear Panel Unit Root Test under Cross Section Dependence,
Mario Cerrato, Christian de Peretti and Nick Sarantis, from Business School - Economics, University of Glasgow (2008)
Keywords: Nonlinear panel unit root tests, cross sectional dependence.

A Nonlinear Panel Unit Root Test under Cross Section Dependence,
Mario Cerrato, Christian de Peretti, Rolf Larsson and Nick Sarantis, from Business School - Economics, University of Glasgow (2009)
Keywords: Nonlinear panel unit root tests, cross sectional dependence.

A nonlinear panel unit root test under cross section dependence,
Mario Cerrato, Christian de Peretti, Rolf Larsson and Nicholas Sarantis, from Business School - Economics, University of Glasgow (2011)
Keywords: Nonlinear panel unit root tests, cross sectional dependence.

Is energy consumption per capita stationary? Evidence from first and second generation panel unit root tests,
Muhammad Shahbaz, Aviral Tiwari and Saleheen Khan, in Economics Bulletin (2016)
Keywords: Energy Consumption, Panel Unit Root Tests

Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH,
Joakim Westerlund and Paresh Narayan, from University of Gothenburg, Department of Economics (2009)
Keywords: Panel Data; Unit Root Tests; GARCH

Is Energy Consumption Per Capita Stationary? Evidence from First and Second Generation Panel Unit Root Tests,
Muhammad Shahbaz, Aviral Tiwari and Saleheen Khan, from University Library of Munich, Germany (2012)
Keywords: Energy Consumption, Panel Unit Root Test

Panel-CADF Testing with R: Panel Unit Root Tests Made Easy,
Claudio Lupi, from University of Molise, Department of Economics (2011)
Keywords: panel data, unit root, R

LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Panel unit root test

Incidental Trends and the Power of Panel Unit Root Tests,
Hyungsik Moon, Benoit Perron and Peter Phillips, from Institute of Economic Policy Research (IEPR) (2005)
Keywords: Asymptotic power envelope, common point optimal test, heterogeneous alternatives, incidental trends, local to unity, power function, panel unit root test

Incidental Trends and the Power of Panel Unit Root Tests,
Hyungsik Moon, Benoit Perron and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2003)
Keywords: Asymptotic power envelope, Common point optimal test, Heterogeneous alternatives, Incidental trends, Local to unity, Power function, Panel unit root test

Incidental Trends and the Power of Panel Unit Root Tests,
Peter Phillips, Hyungsik Moon and Benoit Perron, from Yale School of Management (2004)
Keywords: Asymptotic power envelope, common point, optimal test, heterogeneous alternatives, incidental trends, local to unity, power function, panel unit root test

Examination of Unemployment in the Framework of Hysteresis and Natural Rate in OECD Countries: Evidence from Alternative Panel Unit Root Tests,
Melike Dedeoglu, in EKOIST Journal of Econometrics and Statistics (2021)
Keywords: Unemployment Hysteresis, Natural Unemployment Rate, Panel Unit Root Test, Fourier Panel Unit Root Test, OECD, Covid-19

Testing for unit root in nonlinear heterogeneous panels,
Nuri Ucar and Tolga Omay, in Economics Letters (2009)
Keywords: Nonlinear Panel unit root Sieve bootstrap

HADRI: RATS procedure to implement Hadri test for unit roots in panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests for panel data

Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity,
Yoshihiro Hashiguchi and Shigeyuki Hamori, from University Library of Munich, Germany (2010)
Keywords: panel unit root test; CIPS test; heteroskedasticity; cross-section dependence

Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity,
Shigeyuki Hamori and Yoshihiro Hashiguchi, in Economics Bulletin (2012)
Keywords: panel unit root test, CIPS test, heteroskedasticity, cross-section dependence

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation,
Christoph Hanck, from University Library of Munich, Germany (2008)
Keywords: Nonstationary Volatility; Multiple Testing; Panel Unit Root Test; Cross-Sectional Dependence

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data,
Eiji Kurozumi, Daisuke Yamazaki and Kaddour Hadri, from Queen's Management School, Queen's University Belfast (2013)
Keywords: Covariate unit root test, Cross-sectional dependence in panel data, Point optimal test, Squared correlation, Power

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data,
Eiji Kurozumi, Daisuke Yamazaki and Kaddour Hadri, from Institute of Economic Research, Hitotsubashi University (2012)
Keywords: covariate unit root test, cross-sectional dependence in panel data, point optimal test, squared correlation, power

A modified LLC panel unit root test of the PPP hypothesis,
Joakim Westerlund and Johan Blomquist, in Empirical Economics (2013)
Keywords: Non-stationary panel data, Panel unit root test, Purchasing power parity, Cross-section dependence,

A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,
Mohammad Pesaran, from Faculty of Economics, University of Cambridge (2003)
Keywords: panel unit root tests, cross-section dependence, heterogeneous dynamic panels, finite sample properties

Panel unit root tests under cross section dependence with recursive mean adjustment,
Donggyu Sul, in Economics Letters (2009)
Keywords: Recursive detrending Dynamic factors Panel unit root test Covariate unit root test Cross section dependence

Are fluctuations in natural gas consumption per capita transitory? Evidence from time series and panel unit root tests,
Muhammad Shahbaz, Naceur Khraief, Mantu Mahalik and Khair Uz Zaman, in Energy (2014)
Keywords: Natural gas; Univariate unit root tests; The first and second generation panel data unit root tests;

Non-Sationarity in the Consumption-Income Ratio: Further Evidence from Panel and Assymetric Unit Root Tests,
Dimitris Christopoulos and Mike Tsionas, in Economics Bulletin (2002)
Keywords: Consumption-Income Ratio Panel Unit Root Tests Assymetric Unit Root Tests TAR Models

Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test,
Chi Keung Lau, Farrukh Suvankulov, Yongyang Su and Frankie Chau, in Economic Modelling (2012)
Keywords: Monte Carlo Simulation; Panel non-linear panel unit root test; Real exchange rate; ASEAN countries;

Testing Income Convergence: Evidence from Indian States Using Panel Linear and Nonlinear Unit Root Tests,
Mamoni Kalita and Aviral Tiwari, in Economic Research Guardian (2012)
Keywords: Convergence, Indian states, Nonlinear panel unit root test

An Improved Panel Unit Root Test Using GLS-Detrending,
Claude Lopez, from University Library of Munich, Germany (2003)
Keywords: DF-GLS, panel unit root

Convergence Hypothesis: Evidence from Panel Unit Root Test with Spatial Dependence,
Lezheng Liu and Isabel Ruiz, in Revista Ecos de Economía (2006)
Keywords: Convergence Hypothesis; Panel Unit Root Test; Spatial Dependence; Hipótesis de convergencia; Test de raíces unitarias de panel; Dependencia espacial

A Panel Unit Root and Panel Cointegration Test of the Modeling International Tourism Demand in India,
Chukiat Chaiboonsri, Prasert Chaitip and N. Rangaswamy, in Annals of the University of Petrosani, Economics (2008)
Keywords: India; tourism demand, Panel Unit Root Test, Panel Cointergration Test, Long-run relationship

The effects of variance breaks on homogenous panel unit root tests,
Helmut Herwartz and Florian Siedenburg, from Christian-Albrechts-University of Kiel, Department of Economics (2009)
Keywords: Panel unit root tests, variance breaks, cross sectional dependence, Fisher hypothesis

Testing for a unit root in a random coefficient panel data model,
Joakim Westerlund and Rolf Larsson, in Journal of Econometrics (2012)
Keywords: Panel unit root test; Random coefficient autoregressive model; Local asymptotic power;

New tools for understanding the local asymptotic power of panel unit root tests,
Joakim Westerlund and Rolf Larsson, in Journal of Econometrics (2015)
Keywords: Panel unit root test; Local asymptotic power; Infinite-order approximation; Moment expansion;

Nonlinear trends in real exchange rates: A panel unit root test approach,
David Cushman and Nils Michael, in Journal of International Money and Finance (2011)
Keywords: Real exchange rates; Nonlinear-trend stationarity; Panel unit root tests; Purchasing power parity;

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation,
Christoph Hanck and Robert Czudaj, from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen (2013)
Keywords: panel unit root test, nonstationary volatility, cross-sectional dependence, GDP stationarity, inflation stationarity

Purchasing power parity in ASEAN+3: an application of panel unit root tests,
Boršič Darja and Bekő Jani, in Croatian Review of Economic, Business and Social Statistics (2018)
Keywords: ASEAN+3, EUR, panel unit root tests, purchasing power parity, real exchange rates, USD

Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity,
Yoosoon Chang and Wonho Song, from International Conferences on Panel Data (2002)
Keywords: Panels with cross-sectional dependency and heterogeneity, unit root test, cointegration, covariate, nonlinear instrument, order statistics

Taking a New Contour: A Novel Approach to Panel Unit Root Tests,
Yoosoon Chang, from Econometric Society (2004)
Keywords: Panel unit root test, nonlinear IV methodology, equi-squared-sum contour, bootstrap, Cauchy estimator, order statistics.

Taking a new contour: A novel approach to panel unit root tests,
Yoosoon Chang, in Journal of Econometrics (2012)
Keywords: Panel unit root test; Nonlinear IV methodology; Equi-squared-sum contour; Bootstrap; Cauchy estimator;

Panel unit root tests in the presence of a multifactor error structure,
Mohammad Pesaran, L. Vanessa Smith and Takashi Yamagata, in Journal of Econometrics (2013)
Keywords: Panel unit root tests; Cross section dependence; Multifactor error structure; Fisher inflation parity; Real equity prices;

Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency,
Yoosoon Chang, from Cowles Foundation for Research in Economics, Yale University (2000)
Keywords: Panels with cross-sectional dependency, unit root tests, sieve bootstrap, AR approximation

The local power of the CADF and CIPS panel unit root tests,
Joakim Westerlund, Mehdi Hosseinkouchack and Martin Solberger, from Deakin University, Department of Economics (2014)
Keywords: Panel unit root test, common factor model, cross-sectional averages, crosssectional dependence, local asymptotic power

A nonlinear panel unit root test under cross section dependence,
Mario Cerrato, Christian de Peretti and Nick Sarantis, from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2007)
Keywords: Non-linear panel unit root tests, cross sectional dependence, Purchasing Power Parity

On The Panel Unit Root Tests Using Nonlinear Instrumental Variables,
Kyung So Im and Mohammad Pesaran, from Faculty of Economics, University of Cambridge (2003)
Keywords: Non-linear Instrumental Variable (NIV) panel unit root tests, cross-section dependence, finite sample properties

Hysteresis Effect on Unemployment for Men and Women: A Panel Unit Root Test for OECD Countries,
Selahattin Bekmez and Asli Ozpolat, in International Journal of Financial Research (2016)
Keywords: hysteresis effect, unemployment, gender differentiation, Panel Unit Root Test

On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions,
Martin C. Arnold and Christoph Hanck, in JRFM (2019)
Keywords: panel unit root; inflation; nonstationary volatility; multiple testing

Robust panel unit root tests for cross-sectionally dependent multiple time series,
Dong Wan Shin and Sangun Park, in Computational Statistics & Data Analysis (2010)
Keywords: M-estimation Panel unit root test Purchasing power parity

Is Per Capita Real GDP Stationary in the OECD Countries? Evidence from a Panel Unit Root Test,
Ilhan Ozturk and Huseyin Kalyoncu, from University Library of Munich, Germany (2007)
Keywords: Real GDP per capita, Stationary, Panel Unit root tests, OECD

Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks,
Jörg Breitung and Bertrand Candelon, in Review of World Economics (Weltwirtschaftliches Archiv) (2005)
Keywords: Panel data, unit root tests, structural breaks, PPP, currency crisis,

Total Factor Productivity Convergence among Italian Regions: Some Evidence from Panel Unit Root Tests,
Joseph Byrne, Giorgio Fazio and Davide Piacentino, in Regional Studies (2009)
Keywords: Total factor productivity, Regional convergence, Panel unit root tests,

Are Asian Per Capita GDP Stationary? Evidence from First and Second Generation Panel Unit Root Tests,
Aviral Tiwari, Amrit Chaudhari and K. Suresh, in Transition Studies Review (2012)
Keywords: Asia, Panel unit root tests, Per capita GDP, C23, C33,

A re-examination of real interest parity in CEECs using 'old' and 'new' second-generation panel unit root tests,
Claudiu Albulescu, Dominique Pépin and Aviral Kumar Tiwaric, from HAL (2016)
Keywords: CEECs, panel unit root tests, real interest parity

A RE-EXAMINATION OF REAL INTEREST PARITY IN CEECs USING OLD AND NEW GENERATIONS OF PANEL UNIT ROOT TESTS,
Claudiu Albulescu, Dominique Pépin and Aviral Tiwari, from HAL (2014)
Keywords: real interest parity,panel unit root tests,CEECs

A RE-EXAMINATION OF REAL INTEREST PARITY IN CEECs USING 'OLD' AND 'NEW' SECOND GENERATION PANEL UNIT ROOT TESTS,
Claudiu Albulescu, Dominique Pépin and Aviral Tiwari, from HAL (2014)
Keywords: CEECs,panel unit root tests,real interest parity

Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries,
Mario Cerrato, Christian de Peretti and Chris Stewart, from Business School - Economics, University of Glasgow (2008)
Keywords: consumption-income ratio, heterogeneous panel nonlinear unit root test

Panel Unit Root Tests with Structural Breaks,
Pengyu Chen, Yiannis Karavias and Elias Tzavalis, from Department of Economics, University of Birmingham (2021)
Keywords: Panel data, Unit root, Structural break, Banking, COVID–19, xtbunitroot

Panel unit-root tests with structural breaks,
Pengyu Chen, Yiannis Karavias and Elias Tzavalis, in Stata Journal (2022)
Keywords: xtbunitroot, panel data, unit root, structural break, banking, COVID-19

Second Generation Panel Unit Root Tests,
Christophe Hurlin and Valérie Mignon, from HAL (2007)
Keywords: Nonstationary panel data,unit root,heterogeneity,cross-sectional dependencies

Breaking trend panel unit root tests,
Pui Sun Tam and University of Macau, from Society for Computational Economics (2006)
Keywords: Panel unit root, structural breaks, response surface, bootstrap

Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel,
Hyungsik Moon and Benoit Perron, in Journal of Econometrics (2012)
Keywords: False discovery rate; Multiple testing; Unit root tests; Panel data; Bootstrap;

Fisher hypothesis: East Asian evidence from panel unit root tests,
Tai-Hu Ling, Venus Liew and Syed Azizi Wafa Syed Khalid Wafa, from University Library of Munich, Germany (2007)
Keywords: Fisher hypothesis; panel unit root; univariate unit root; East Asian

An intersection test for panel unit roots,
Christoph Hanck, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2008)
Keywords: Multiple Testing, Panel Unit Root Test, Cross-Sectional Dependence