A note on the use of the LLC panel unit root test

被引：14

作者：

Westerlund, Joakim ^{[1
]}

机构：

[1] Lund Univ, Dept Econ, S-22007 Lund, Sweden

来源：

EMPIRICAL ECONOMICS | 2009年 / 37卷 / 03期

关键词：

Panel data; Unit root test; COINTEGRATION; POWER;

D O I：

10.1007/s00181-008-0244-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin et al. in J Econom 98:1-24, 2002), in which the authors propose a test for a common unit root in the panel. Using both theoretical arguments and simulation evidence, we show that this test can be misleading unless it is based on the same bandwidth selection rule used by LLC.

引用

页码：517 / 531

页数：15

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