Lessons from a Decade of IPS and LLC

Joakim Westerlund · Jörg Breitung

99 citations0/0 files storedEconometric Reviews

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Spatial and Panel Data Analysis Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

Abstract

This paper points to some of the facts that have emerged from 20 years of research into the analysis of unit roots in panel data, an area that has been heavily influenced by two studies, IPS (Im, Pesaran, and Shin, 2003 Im , K. S. , Pesaran , M. H. , Shin , Y. ( 2003 ). Testing for unit roots in heterogeneous panels . Journal of Econometrics 115 : 53 – 74 .[Crossref], [Web of Science ®] , [Google Scholar]) and LLC (Levin et al., 2002 Levin , A. , Lin , C. , Chu , C.-J. ( 2002 ). Unit root tests in panel data: Asymptotic and finite-sample properties . Journal of Econometrics 108 : 1 – 24 .[Crossref], [Web of Science ®] , [Google Scholar]). Some of these facts are known, others are not. But they all have in common that, if ignored, the effects can be very serious. This is demonstrated using both simulations and theoretical arguments.

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References

1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1998Initial conditions and moment restrictions in dynamic panel data models 1995Another look at the instrumental variable estimation of error-components models 2003Testing for unit roots in heterogeneous panels 1995Initial conditions and moment restrictions in dynamic panel data models 2002Unit root tests in panel data: asymptotic and finite-sample properties 2007A simple panel unit root test in the presence of cross‐section dependence

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