Optimal tests against the alternative hypothesis of panel unit roots

Yonghee Lee; Dong Wan Shin

doi:10.1016/j.csda.2008.06.014

Optimal tests against the alternative hypothesis of panel unit roots

Yonghee Lee, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

For panel models with random individual and time effects, locally best invariant (LBI) tests are constructed for the null hypothesis of stationarity against the alternative hypothesis of panel unit root. Finite sample properties of the proposed test and an existing test are compared by a Monte Carlo simulation.

Original language	English
Pages (from-to)	2275-2283
Number of pages	9
Journal	Computational Statistics and Data Analysis
Volume	53
Issue number	6
DOIs	https://doi.org/10.1016/j.csda.2008.06.014
State	Published - 15 Apr 2009

Bibliographical note

Funding Information:
Yonghee Lee’s research was supported by KOSEF through Statistical Research Center for Complex Systems at Seoul National University.

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10.1016/j.csda.2008.06.014

Cite this

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title = "Optimal tests against the alternative hypothesis of panel unit roots",

abstract = "For panel models with random individual and time effects, locally best invariant (LBI) tests are constructed for the null hypothesis of stationarity against the alternative hypothesis of panel unit root. Finite sample properties of the proposed test and an existing test are compared by a Monte Carlo simulation.",

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JO - Computational Statistics and Data Analysis

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Optimal tests against the alternative hypothesis of panel unit roots

Abstract

Bibliographical note

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