arXiv 13 Aug 2024 · Econometrics
arXiv:2408.08908 · PDF · DOI · OpenAlex · Extracted main text
This review discusses methods of testing for a panel unit root. Modern approaches to testing in cross-sectionally correlated panels are discussed, preceding the analysis with an analysis of independent panels. In addition, methods for testing in the case of non-linearity in the data (for example, in the case of structural breaks) are presented, as well as methods for testing in short panels, when the time dimension is small and finite. In conclusion, links to existing packages that allow implementing some of the described methods are provided.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bai, J. and Ng, S (2004) A PANIC attack on unit roots and cointegration | 1.000 | 27 | 4 | 100% |
| 2 | Pesaran, M.H (2007) A simple panel unit root test in the presence of cross section dependence | 1.000 | 16 | 3 | 100% |
| 3 | Choi, I (2001) Unit Root Tests for Panel Data | 1.000 | 14 | 4 | 100% |
| 4 | Maddala, G.S. and Wu, S (1999) A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test | 1.000 | 12 | 5 | 100% |
| 5 | Bai, J. and Ng, S (2010) Panel unit root tests with cross-section dependence: a further investigation | 1.000 | 10 | 3 | 100% |
| 6 | Breitung, J (2000) The Local Power of Some Unit Root Tests for Panel Data in B. Baltagi, T. B. Fomby, and R. C. Hill (eds.) | 1.000 | 10 | 3 | 100% |
| 7 | Hadri, K (2000) Testing for Stationarity in Heterogeneous Panel Data | 1.000 | 7 | 3 | 100% |
| 8 | Breitung, J. and Meyer, W (1994) Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated? | 1.000 | 6 | 3 | 100% |
| 9 | Moon, H.R. and Perron, B. and Phillips, P.C.B (2007) Incidental Trends and the Power of Panel Unit Root Tests | 0.874 | 12 | 2 | 100% |
| 10 | Hadri, K. and Rao, Y (2008) Panel Stationarity Test with Structural Breaks | 0.874 | 8 | 2 | 100% |
Showing the top 10 of 196 scored citations.