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dc.contributor.authorHanck, Christophen_US
dc.date.accessioned2009-05-19en_US
dc.date.accessioned2010-07-15T10:07:58Z-
dc.date.available2010-07-15T10:07:58Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/36610-
dc.description.abstractThis paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte Carlo experiments show good size and power properties relative to existing panel unit root tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative of stationarity can be said to hold. We provide two empirical applications to panels of real gross domestic product (GDP) and real exchange rate data.en_US
dc.language.isoengen_US
dc.publisherUniv., SFB 475 Dortmunden_US
dc.relation.ispartofseriesTechnical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2008,11en_US
dc.subject.jelC12en_US
dc.subject.jelC23en_US
dc.subject.ddc310en_US
dc.subject.keywordMultiple Testingen_US
dc.subject.keywordPanel Unit Root Testen_US
dc.subject.keywordCross-Sectional Dependenceen_US
dc.titleAn intersection test for panel unit rootsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn600067300en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb475:200811-
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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