Im, K.S., M.H. Pesaran and Y. Shin (1997) Testing for Unit Roots in Heterogeneous Panels. unpublished manuscript, University of Cambridge.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....a means to improve the power of the unit root test, which is known to often yield very low discriminatory power if performed on individual time series. A number of unit root tests for panel data are now available in the literature. Examples include the tests proposed by Levin, Lin and Chu (1997) Im, Pesaran and Shin (1997), Maddala and Wu (1996) Choi (1997) and Chang (2000) The reader is referred to Banerjee (1999) for some detailed discussions on the existing panel unit root tests and other related issues. Rather unsatisfactorily, however, most existing panel unit root tests assume crosssectional independence, ....

....used panel unit root tests that are developed under the cross sectional independence when in fact the panel is spatially dependent. They, in particular, show that the panel unit root tests based on independence across cross sectional units, such as those considered in Levin, Lin and Chu (1997) and Im, Pesaran and Shin (1997), perform poorly for cross sectionally correlated panels. The cross sectional dependency is very hard to deal with in nonstationary panels. In the presence of cross sectional dependency, the usual Wald type unit root tests based upon the OLS and GLS system estimators have limit distributions that ....

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Im, K.S., M.H. Pesaran and Y. Shin (1997). "Testing for unit roots in heterogeneous panels," mimeographed.

....Taylor and Sarno (1998) show that the JLR test statistic in (9) is asymptotically distributed as 2 1 ( under the null hypothesis. 8 The JLR multivariate test employed here offers important methodological advantages over standard panel unit root tests suggested by Levin and Lin (1992, 1993) Im et al. 1995), O Connell (1998) and others. Such tests have as their null hypothesis that all variables in the panel are realizations of unit root processes. Hence, this null will be rejected if even one of the series in the panel is stationary. Under these conditions, rejection of the null leads to the ....

Im, K. S., Pesaran, M. H., and Y. Shin (1995), Testing for unit roots in heterogeneous panels, unpublished paper, Department of Applied Economics, University of Cambridge.

....Given the above results, the application of a panel unit root test to the system of forecast error series is bound to lead to substantial efficiency gains in estimation by exploiting the cross equation dependencies. Standard panel unit root tests suggested by Levin and Lin (1992, 1993) Im et al. 1995), O Connell (1998) and others, have as their null hypothesis that all variables in the panel are realizations of unitroot processes. This null will be rejected if even one of the series in the panel is stationary. Under these conditions, rejection of the null leads to the misleading inference ....

Im, K. S., Pesaran, M. H., and Y. Shin (1995), Testing for unit roots in heterogeneous panels, unpublished paper, Department of Applied Economics, University of Cambridge.

....model specification) that have been calculated via simulation (the principle source is MacKinnon 1990) Pooled unit root tests are provided in the last two rows of the table. Although there is as yet little published work on panel unit root tests, a literature is quickly emerging. Maddala and Kim (1999) provide a review of several unpublished works, and recommend the tests proposed by Im, Pesaran, and Shin (1999) 62 These tests (the panel LM and panel t tests listed in the last two rows of Table A1) are the least restrictive of those currently available. 63 These test statistics are ....

Im, Kyung So, Hashem Pesaran, and Yongcheol Shin. 1999. "Testing for Unit Roots in Heterogeneous Panels." Mimeo, University of Cambridge.

....tests of PPP under parameter heterogeneity have up to now not been applied on a frequent basis. Coakley and Fuertes (1997) test the validity of PPP for U.S. based real exchange rates of G10 countries over the 1973 1995 period within the heterogeneous panel unit root testing framework of Im et al. 1997) and they can reject the null of non stationary real exchange rates. But, the results of Coakley and Fuertes (1997) should be treated with suspicion as the Im et al. 1997) framework, like the Levin and Lin (1992) framework, is based on the assumption of cross sectional independence. Hakkio (1984) ....

....real exchange rates of G10 countries over the 1973 1995 period within the heterogeneous panel unit root testing framework of Im et al. 1997) and they can reject the null of non stationary real exchange rates. But, the results of Coakley and Fuertes (1997) should be treated with suspicion as the Im et al. 1997) framework, like the Levin and Lin (1992) framework, is based on the assumption of cross sectional independence. Hakkio (1984) does allow for cross sectional dependence as he estimates a system of four U.S. based real exchange rates with generalized least squares [GLS] and his estimation results ....

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Im, K.S., M.H. Pesaran and Y. Shin, 1997, Testing for Unit Roots in Heterogeneous Panels, mimeo, Department of Applied Economics, Cambridge University.

....by construction. The tt slope coe#cient is an estimate of Cov(x,#s ) Var(x ) which does not disentangle tt 1 t contributions from short run and long run dynamics. We follow the exchange rate studies cited above and condition our analysis by fixing # = 1. An alternative strategy would be to estimate #. Pedroni (1997) shows that when # is estimated by panel regression, it can be treated as fixed in the asymptotic analysis of residual based tests of cointegration. However, we are also interested in modeling the exact distribution of our test statistics via the bootstrap and it is un7 clear whether treating the ....

Im, Kyung So, M. Hashem Pesaran and Yongcheol Shin (1997), `Testing for Unit Roots in Heterogeneous Panels,' Discussion Paper, University of Cambridge.

....H 0 : 0 against H 1 : 0. The speci cation of H 1 can be too restrictive if equation (7) is a valid longrun equilibrium for all exchange rates with di erent adjustment speeds, i.e. i 6= for i = 1; N . As an alternative test procedure one could apply the panel unit root test of Im et al. 1997) to the residuals of (7) The Im et al. 1997) framework basically tests H 0 : i = 0 versus H 1 : i 0 for i = 1; N , using the cross section distribution of individual ADF t statistics. However, in the Im et al. approach the speci cation of the alternative hypothesis can be too ....

....of H 1 can be too restrictive if equation (7) is a valid longrun equilibrium for all exchange rates with di erent adjustment speeds, i.e. i 6= for i = 1; N . As an alternative test procedure one could apply the panel unit root test of Im et al. 1997) to the residuals of (7) The Im et al. 1997) framework basically tests H 0 : i = 0 versus H 1 : i 0 for i = 1; N , using the cross section distribution of individual ADF t statistics. However, in the Im et al. approach the speci cation of the alternative hypothesis can be too exible from an economic point of view. We want to ....

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Im, K.S., M.H. Pesaran and Y. Shin, 1997, Testing for Unit Roots in Heterogeneous Panels, mimeo, Department of Applied Economics, Cambridge University.

....2 1. Introduction The development of a large empirical literature generated much debate about what factors influence economic growth. One factor that has been suggested is the provision of physical infrastructure. The World Bank s World Development Report 1994, Gramlich (1994) and Jimenez (1995) provide surveys of why infrastructure is important in economic development and evaluate recent empirical results estimating the contribution of public capital and infrastructure to growth. For example, Aschauer (1989) finds very large returns to public capital using U.S. data, while Canning, Fay, ....

....Anas (1992) find lack of infrastructure, particularly of consistent electricity supply, to be a major constraint on Nigerian firms. Antle (1983) finds a significant role for infrastructure in agricultural productivity in developing countries. A recurrent problem in this literature, as noted by Jimenez (1995), is the lack of data. The main aim of this paper is to provide, and describe, a data set on physical infrastructure stocks: roads, paved roads, railway lines, electricity generating capacity, telephones, and telephone main lines. The emphasis on physical measures of infrastructure stocks is due ....

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Im, K.S., M.H. Pesaran, and Y. Shin. 1995. "Testing for Unit Roots in Heterogeneous Panels." Cambridge University, Department of Applied Economics. Mimeo.

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Im, K.S., M.H. Pesaran and Y. Shin (1997) Testing for Unit Roots in Heterogeneous Panels. unpublished manuscript, University of Cambridge.

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Im, K., H. Pesaran, and Y. Shin (1997), "Testing for Unit Roots in Heterogeneous Panels", mimeo, Cambridge University, December.

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Im, K.S., H. Pesaran and Y. Shin, 1995, Testing for Unit Roots in Heterogeneous Panels, University of Cambridge, Department of Applied Economics Working Paper No. 9526.

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Kyung So Im, M. Hashem Pesaran and Yongcheol, (1997) Shin. `Testing for Unit Roots in Heterogeneous Panels,' mimeo Trinity College, University of Cambridge.

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Kyung So Im, M Hashem Pesaran and Yongcheol Shin (1997), Testing for Unit Roots in Heterogeneous Panels,' Discussion Paper, University of Cambridge.

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Im, Kyung So, M. Hashem Pesaran, and Yougcheol Shin (1997). `Testing for Unit Roots in Heterogeneous Panels,' mimeo, Trinity College, Cambridge.

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