A simple panel stationarity test in the presence of serial correlation and a common factor

This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.

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Year of publication:	2012
Authors:	Hadri, Kaddour ; Kurozumi, Eiji
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 1, p. 31-34
Publisher:	Elsevier
Subject:	Panel data \| Stationarity \| KPSS test \| Cross-sectional dependence \| Common factor

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041587