The accuracy of normal approximation in a heterogeneous panel data unit root test

2006 ◽  
Vol 49 (3) ◽  
pp. 565-579 ◽  
Author(s):  
Kristian Jönsson
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Normal Approximation ◽  
Unit Root Test ◽  
Heterogeneous Panel

scholarly journals Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests

2014 ◽  
Vol 83 (6) ◽  
pp. 676-700 ◽  
Author(s):  
Kaddour Hadri ◽  
Eiji Kurozumi ◽  
Daisuke Yamazaki
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests

UNCOVERED INTEREST PARITY IN ARGENTINA, BRAZIL, CHILE, AND MEXICO: A UNIT ROOT TEST APPLICATION WITH PANEL DATA

2004 ◽  
Vol 16 (3) ◽  
pp. 263-269 ◽  
Author(s):  
Jaimilton V. Carvalho ◽  
Adolfo Sachsida ◽  
Paulo R. A. Loureiro ◽  
Tito Belchior S. Moreira
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Uncovered Interest Parity ◽  
Test Application ◽  
Interest Parity

scholarly journals Purchasing Power Parity in Commonwealth of Independent States

2014 ◽  
Author(s):  
Gülçin Güreşçi Pehlivan ◽  
Esra Ballı ◽  
Muammer Tekeoğlu
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Cross Section ◽  
Purchasing Power Parity ◽  
Unit Root ◽  
Unit Root Test ◽  
Purchasing Power ◽  
Power Parity ◽  
Panel Unit Root ◽  
Independent States

The Purchasing Power Parity suggests that differences in relative prices in two countries move together with nominal exchange rates in the long run. This study examines the validity of PPP as transition economies for Commonwealth of Independent States (CIS). Purchasing Power Parity holds only when the real exchange rate is stationary in the equation. To test the stationary, we used both time series and panel data analysis. Testing unit root both with time series and panel data in this study, provides us double check of the results. We also test the cross sectional dependence to choose the appropriate panel unit root test. Our test statistics indicate that there is cross section dependence between countries. Hence, one needs to take into consideration the cross section dependence while undertaking unit root tests. Otherwise, the results would be biased. ADF and KPPS indicate that PPP cannot be accepted for the countries except for Russia. According to the panel unit root test results indicate that PPP does not hold for Armenia, Belarus, Georgia, Kazakhstan and Kyrgyzstan except for Russia.

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