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

Ewha Womans University

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

Access to Document

10.1016/j.csda.2008.06.014

Cite this

@article{1fe7ca5313d94f92819f32e3ac0d7771,

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.",

author = "Yonghee Lee and Shin, {Dong Wan}",

year = "2009",

month = apr,

day = "15",

doi = "10.1016/j.csda.2008.06.014",

language = "English",

volume = "53",

pages = "2275--2283",

journal = "Computational Statistics and Data Analysis",

issn = "0167-9473",

publisher = "Elsevier B.V.",

number = "6",

}

TY - JOUR

T1 - Optimal tests against the alternative hypothesis of panel unit roots

AU - Lee, Yonghee

AU - Shin, Dong Wan

PY - 2009/4/15

Y1 - 2009/4/15

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=61549093346&partnerID=8YFLogxK

U2 - 10.1016/j.csda.2008.06.014

DO - 10.1016/j.csda.2008.06.014

M3 - Article

AN - SCOPUS:61549093346

SN - 0167-9473

VL - 53

SP - 2275

EP - 2283

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

IS - 6

ER -

Optimal tests against the alternative hypothesis of panel unit roots

Abstract

Access to Document

Other files and links

Fingerprint

Cite this