Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259905 
Year of Publication: 
2005
Series/Report no.: 
Working Paper No. 2005:16
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial correlation in the disturbance terms is allowed for. Instead, we supply standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the disturbances may be an issue. We also document a serious small-sample bias in the panel data stationarity test when a linear trend is present in the data.
Subjects: 
Panel Data
Stationarity
Serial Correlation
Monte Carlo Simulation
JEL: 
C15
C23
C32
C33
Document Type: 
Working Paper

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