More powerful panel data unit root tests with an application to mean reversion in real exchange rates

Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected. Copyright © 2004 John Wiley & Sons, Ltd.

MoreLess

Year of publication:	2004
Authors:	Smith, L. Vanessa ; Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul
Published in:	Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 19.2004, 2, p. 147-170
Publisher:	John Wiley & Sons, Ltd.

More details

Extent:	text/html
Type of publication:	Article
Research data:	https://doi.org/10.15456/jae.2022319.0705854818
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005764819