Shortfalls of panel unit root testing

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Author
Strauss, J.
Yigit, T.
Date
2003
Source Title
Economics Letters
Print ISSN
0165-1765
Electronic ISSN
1873-7374
Publisher
Elsevier BV
Volume
81
Issue
3
Pages
309 - 313
Language
English
Type
Article
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Abstract
This paper shows that (i) magnitude and variation of contemporaneous correlation are important in panel unit root tests, and (ii) demeaning across the panel usually does not eliminate these problems. (C) 2003 Elsevier B.V. All rights reserved.
Keywords
Panel unit root
Contemporaneous correlation
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http://hdl.handle.net/11693/11292
Published Version (Please cite this version)
http://dx.doi.org/10.1016/S0165-1765(03)00210-6
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