Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68507
Authors: 
Pedroni, Peter
Vogelsang, Timothy J.
Wagner, Martin
Westerlund, Joakim
Year of Publication: 
2011
Series/Report no.: 
Reihe Ökonomie, Institut für Höhere Studien 270
Abstract: 
This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence, the limiting distributions are valid for panels with finite cross-sectional dimensions.
Subjects: 
nonparametric rank tests
unit roots
cointegration
cross-sectional dependence
JEL: 
C12
C22
C23
Document Type: 
Working Paper

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