Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application

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.

PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION

The consideration of the limit theory in which T is fixed and N is allowed to go to infinity improves the finite-sample properties of the tests and avoids the imposition of the relative rates at which T and N go to infinity.

Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests, with two Applications

This paper proposes the use of an improved covariate unit root test which exploits the cross-sectional dependence information when the panel data null hypothesis of a unit root is rejected. More explicitly, to increase the power of the test, we suggest the utilization of more than one covariate and offer several ways to select the ‘best’ covariates from the set of potential covariates represented by the individuals in the panel. Employing our methods, we investigate the Prebish-Singer hypothesis for nine commodity prices. Our results show that this hypothesis holds for all but the price of petroleum.

Scaling of domain periodicity with thickness measured in BaTiO3 single crystal lamellae and comparison with other ferroics

The focused ion beam microscope has been used to cut parallel-sided {100}-oriented thin lamellae of single crystal barium titanate with controlled thicknesses, ranging from 530 nm to 70 nm. Scanning transmission electron microscopy has been used to examine domain configurations. In all cases, stripe domains were observed with {011}-type domain walls in perovskite unit-cell axes, suggesting 90 degrees domains with polarization in the plane of the lamellae. The domain widths were found to vary as the square root of the lamellar thickness, consistent with Kittel's law, and its later development by Mitsui and Furuichi and by Roytburd. An investigation into the manner in which domain period adapts to thickness gradient was undertaken on both wedge-shaped lamellae and lamellae with discrete terraces. It was found that when the thickness gradient was perpendicular to the domain walls, a continuous change in domain periodicity occurred, but if the thickness gradient was parallel to the domain walls, periodicity changes were accommodated through discrete domain bifurcation. Data were then compared with other work in literature, on both ferroelectric and ferromagnetic systems, from which conclusions on the widespread applicability of Kittel's law in ferroics were made.