Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

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

Sune Karlsson () and Mickael Löthgren ()
Additional contact information
Sune Karlsson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden
Mickael Löthgren: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

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

JEL-codes: C12; C15; C22; C23

11 pages, February 4, 1999

Full text files 

hastef0299.pdf.zip PDF-file Full text
hastef0299.pdf PDF-file Full text
hastef0299.ps PostScript file Full text
hastef0299.ps.zip PostScript file Full text

Download statistics

Published as
Sune Karlsson and Mickael Löthgren, (2000), 'On the power and interpretation of panel unit root tests', Economics Letters, vol 66, pages 249-255

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:hastef:0299This page generated on 2024-09-13 22:15:05.