A modified LLC panel unit root test of the PPP hypothesis
Data(s) |
01/04/2013
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Resumo |
In a recent study, Westerlund (Empir Econ 37:517–531, 2009) shows that the performance of the popular LLC (Levin et al., J Econ 108:1–24, 2002) panel unit root test depends critically on the choice of lag truncation used when correcting for serial correlation, and that it is only when this parameter is set as a function of time that the power raises above size. The purpose of the current paper is to propose a modified test that does not suffer from this drawback. The new test is not only simpler to compute but also superior in terms of small-sample performance, which is illustrated using an example purchasing power parity for less developed countries. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Springer |
Relação |
http://dro.deakin.edu.au/eserv/DU:30057289/westerlund-modifiedllc-2013.pdf http://dro.deakin.edu.au/eserv/DU:30057289/westerlund-modifiedllc-evid-2013.doc http://dx.doi.org/10.1007/s00181-012-0552-x |
Direitos |
2013, Springer |
Palavras-Chave | #cross-section dependence #non-stationary panel data #panel unit root test #purchasing power parity |
Tipo |
Journal Article |