Are Panel Unit Root Tests Useful for Real-Time Data?

With the development of real-time databases, N vintages are available for T observations instead of a single realization of the time series process. Although the use of panel unit root tests with the aim to gain in efficiency seems obvious, empirical and simulation results shown in this paper heavily mitigate the intuitive perspective.

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Year of publication:	2011
Authors:	Christian, Gengenbach ; Alain, Hecq ; Jean-Pierre, Urbain
Institutions:	Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization
Subject:	macroeconomics

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Extent:	application/pdf
Series:	Research Memoranda.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Research Memoranda Number 012
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008838658