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Lessons from a Decade of IPS and LLC

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  • Joakim Westerlund
  • Jörg Breitung

Abstract

This paper points to some of the facts that have emerged from 20 years of research into the analysis of unit roots in panel data, an area that has been heavily influenced by two studies, IPS (Im, Pesaran, and Shin, 2003) and LLC (Levin et al., 2002). Some of these facts are known, others are not. But they all have in common that, if ignored, the effects can be very serious. This is demonstrated using both simulations and theoretical arguments.

Suggested Citation

  • Joakim Westerlund & Jörg Breitung, 2013. "Lessons from a Decade of IPS and LLC," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 547-591, August.
    • Handle: RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:547-591
    DOI: 10.1080/07474938.2013.741023
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