Time-specific disturbances and cross-sectional dependency in a small-sample heterogeneous panel data unit root test

2006 ◽  
Vol 38 (11) ◽  
pp. 1309-1317 ◽  
Author(s):  
Kristian Jönsson
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Small Sample ◽  
Cross Sectional ◽  
Time Specific ◽  
Heterogeneous Panel

A generalized nonlinear IV unit root test for panel data with cross-sectional dependence

2010 ◽  
Vol 157 (1) ◽  
pp. 101-109 ◽  
Author(s):  
Shaoping Wang ◽  
Peng Wang ◽  
Jisheng Yang ◽  
Zinai Li
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Cross Sectional ◽  
Cross Sectional Dependence ◽  
Nonlinear Iv

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

scholarly journals The Effect of Foreign Portfolio Equity Sales on Stock Returns in Kenya: Evidence from NSE Listed Financial Institutions

2017 ◽  
Vol 9 (4) ◽  
pp. 185
Author(s):  
Loice Koskei
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Stock Returns ◽  
Financial Institutions ◽  
Unit Root Test ◽  
Sampling Technique ◽  
Ordinary Least Squares ◽  
Cross Sectional ◽  
High Volatility ◽  
Study Population

Fluctuations of foreign portfolio equity intensify risk and unpredictability in financial institutions leading to high volatility. The main aim of this study was to find out the effect of foreign portfolio equity outflows on stock returns of listed financial institutions in Kenya. The study population was 21 financial institutions listed on the Nairobi Securities Exchange. Using purposive sampling technique the study concentrated on 14 financial institutions. The research design of the study was causal as it is concerned more with understanding the connection between cause and effect relationships. The study adopted panel data regression using the Ordinary Least Squares (OLS) method where the data included time series and cross-sectional. A unit root test was carried in this study to examine stationarity of variables because it used panel data which combined both cross-sectional and time series information. Panel estimation results indicated that foreign portfolio equity outflows have no effect on stock returns of listed financial institutions in Kenya. The study recommended implementation of policies that would curb foreign portfolio outflows in financial institutions in order to minimize reversals of foreign portfolio investments. 

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