Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/9806
Title: A simple panel-CADF test for unit roots
Authors: Costantini, M
Lupi, C
Keywords: C22;C23
Issue Date: 2013
Publisher: Wiley-Blackwell
Citation: Oxford Bulletin of Economics and Statistics, 75(2): 276 - 296, (April 2013)
Abstract: In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.
Description: Copyright © Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012. This is the accepted version of the following article: Costantini, M. and Lupi, C. (2013), A Simple Panel-CADF Test for Unit Roots. Oxford Bulletin of Economics and Statistics, 75: 276–296, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract.
URI: http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract
http://bura.brunel.ac.uk/handle/2438/9806
DOI: http://dx.doi.org/10.1111/j.1468-0084.2012.00690.x
ISSN: 1468-0084
Appears in Collections:Dept of Economics and Finance Research Papers

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