Une synthèse des tests de racine unitaire sur données de panel

Valérie Mignon · Christophe Hurlin

112 citations0/0 files storedÉconomie & prévision

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

Abstract

Our article presents an overview of panel unit-root tests. There are two major trends in this research area. First, since the late 1990s, the work on panel unit-root tests aims to take account of heterogeneity in dynamic properties of series. Second, attempts have recently been made to introduce a dichotomy between two generations of tests. The first generation is based on the hypothesis of independence between units. In contrast, the second-generation tests are characterized by the rejection of the cross-sectional independence hypothesis. Our survey discusses both generations of tests.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 2003Testing for unit roots in heterogeneous panels 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 2002Unit root tests in panel data: asymptotic and finite-sample properties 1992Testing the null hypothesis of stationarity against the alternative of a unit root 2003Analysis of Panel Data

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