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|Title:||Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods|
|Keywords:||Panel unit root;Monte Carlo;p value distribution;ROC curve|
|Citation:||Economics Letters, 138: pp. 9 - 14, (2016)|
|Abstract:||Sequential panel selection methods (spsms — procedures that sequentially use conventional panel unit root tests to identify I(0)I(0) time series in panels) are increasingly used in the empirical literature. We check the reliability of spsms by using Monte Carlo simulations based on generating directly the individual asymptotic pp values to be combined into the panel unit root tests, in this way isolating the classification abilities of the procedures from the small sample properties of the underlying univariate unit root tests. The simulations consider both independent and cross-dependent individual test statistics. Results suggest that spsms may offer advantages over time series tests only under special conditions.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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