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Choosing Between Panel Data Stationarity Tests

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  • Kristian Jönsson

    (National Institute of Economic Research)

Abstract

When testing for stationarity in panel data several tests are available. These tests differ in degree to which they allow for serial correlation in the series under the null hypothesis. In the current paper, a serial correlation test for panel data is proposed. The suggested test can be used to choose between the available stationarity tests, and provides a statistical ground for choosing an appropriate framework when investigating the stationarity hypothesis in panel data situations.

Suggested Citation

  • Kristian Jönsson, 2008. "Choosing Between Panel Data Stationarity Tests," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-07c30092
    as

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    References listed on IDEAS

    as
    1. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
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    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Kaddour Hadri & Rolf Larsson, 2005. "Testing for stationarity in heterogeneous panel data where the time dimension is finite," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 55-69, March.
    7. G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
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