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      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
      Permalink
      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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      • Department of Economics 649
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