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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 299:
On the power and interpretation of panel unit root tests

Sune Karlsson () and Mickael Löthgren ()

Abstract: We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.

Keywords: Dynamic panels; Monte Carlo; heterogeneity; (follow links to similar papers)

JEL-Codes: C12; C15; C22; C23; (follow links to similar papers)

11 pages, February 4, 1999

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This paper is published as:
Karlsson, Sune and Mickael Löthgren, (2000), 'On the power and interpretation of panel unit root tests', Economics Letters, Vol. 66, pages 249-255



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