In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches.An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.

A Simple Panel-CADF Test for Unit Roots

COSTANTINI M;
2013-01-01

Abstract

In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches.An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/135913
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 35
  • ???jsp.display-item.citation.isi??? 35
social impact