A Simple Panel-CADF Test for Unit Roots

被引：33

作者：

Costantini, Mauro ^{[1
]}

Lupi, Claudio ^{[2
]}

机构：

[1] Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England

[2] Univ Molise, Dept Econ Management & Social Sci, I-86100 Campobasso, Italy

来源：

OXFORD BULLETIN OF ECONOMICS AND STATISTICS | 2013年 / 75卷 / 02期

关键词：

PURCHASING POWER PARITY;

D O I：

10.1111/j.1468-0084.2012.00690.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we propose a simple extension to the panel case of the covariate-augmented DickeyFuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a Pvalues combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.

引用

页码：276 / 296

页数：21

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