Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit  Root Tests, with two Applications

Kaddour Hadri; E. Kurozumi; Daisuke Yamazaki

doi:10.1111/manc.12080

Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests, with two Applications

Kaddour Hadri, E. Kurozumi, Daisuke Yamazaki

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

344 Downloads (Pure)

Abstract

This paper proposes the use of an improved covariate unit root test which exploits the cross-sectional dependence information when the panel data null hypothesis of a unit root is rejected. More explicitly, to increase the power of the test, we suggest the utilization of more than one covariate and offer several ways to select the ‘best’ covariates from the set of potential covariates represented by the individuals in the panel. Employing our methods, we investigate the Prebish-Singer hypothesis for nine commodity prices. Our results show that this hypothesis holds for all but the price of petroleum.

Original language	English
Pages (from-to)	676-700
Journal	Manchester School
Volume	83
Issue number	6
Early online date	08 Aug 2014
DOIs	https://doi.org/10.1111/manc.12080
Publication status	Published - Dec 2015

Keywords

Synergy between an Improved Covariate Unit Root Test and Cross‐sectionally Dependent Panel Data Unit Root Tests

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10.1111/manc.12080

Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests, with two Applications
© 2014 The University of Manchester and John Wiley & Sons This is the peer reviewed version of the following article: Hadri, K., Kurozumi, E. and Yamazaki, D. (2014), Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests. The Manchester School., which has been published in final form at doi: 10.1111/manc.12080 This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving
Accepted author manuscript, 187 KB

Cite this

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Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests, with two Applications

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Keywords

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