Panel data unit roots tests: The role of serial correlation and the time dimension

Arbeitspapier

We investigate the influence of residual serial correlation and of the time dimension on statistical inference for a unit root in dynamic longitudinal data, known as panel data in econometrics. To this end, we introduce two test statistics based on method of moments estimators. The first is based on the generalised method of moments estimators, while the second is based on the instrumental variables estimator. Analytical results for the IV based test in a simplified setting show that (i) large time dimension panel unit root tests will suffer from serious size distortions in finite samples, even for samples that would normally be considered large in practice, and (ii) negative serial correlation in the error terms of the panel reduces the power of the unit root tests, possibly up to a point where the test becomes biased. However, near the unit root the test is shown to have power against a wide range of alternatives. These findings are confirmed in a more general set-up through a series of Monte Carlo experiments.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 550

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Thema: Dynamic longitudinal (panel) data, Generalized method of moments, Instrumental variables, Unit roots, Moving average errors

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): De Wachter, Stefan ; Harris, Richard D. F. ; Tzavalis, Elias
• Ereignis: Veröffentlichung
• (wer): Queen Mary University of London, Department of Economics
• (wo): London
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/62903
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ