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Size distortions of tests of the null hypothesis of stationarity : evidence and implications for applied work

Caner, Mehmet; Kilian, Lutz - 1999 - First Draft: March 1998, This Version: May 1, 1999

Kwiatkowski et al. (1992) and Leybourne and McCabe (1994) may cause extreme size distortions, if the model under the null … hypothesis is highly persistent. The existence of such size distortions has not been recognized in the previous literature. We … the recent float. Size distortions of tests of the unit root null hypothesis may be overcome by the use of finite …

Persistent link: https://www.econbiz.de/10010516947

Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for applied work

Caner, Mehmet; Kilian, Lutz - Zentrum für Europäische Integrationsforschung (ZEI), … - 1999

Persistent link: https://www.econbiz.de/10008614735

Stationarity tests in heterogeneous panels

Yin, Yong; Wu, Shaowen - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 275-296). 2001

Several stationarity tests in heterogeneous panel data models are proposed in this chapter. By allowing maximum degree of heterogeneity in the panel, two different ways of pooling information from independent tests, the group mean and the Fisher tests, are used to develop the panel stationarity...

Persistent link: https://www.econbiz.de/10015390071