Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
Data(s) |
01/07/2009
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Resumo |
This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new information criteria with improved properties in small-N panels proposed. An application to the efficient markets hypothesis is also provided. The null hypothesis of a panel random walk is not rejected by any of the tests, supporting the efficient markets hypothesis in the financial services sector of the Australian Stock Exchange. |
Identificador | |
Idioma(s) |
eng |
Direitos |
info:eu-repo/semantics/restrictedAccess |
Fonte |
De Silva , S , Hadri , K & Tremayne , A R 2009 , ' Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ' Econometrics Journal , vol 12 , no. 2 , pp. 340-366 . DOI: 10.1111/j.1368-423X.2009.00287.x |
Palavras-Chave | #/dk/atira/pure/subjectarea/asjc/2000/2002 #Economics and Econometrics |
Tipo |
article |