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

Kaddour Hadri, Eiji Kurozumi, Daisuke Yamazaki

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)676-700
Number of pages25
JournalManchester School
Volume83
Issue number6
DOIs
Publication statusPublished - Dec 1 2015

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Panel data
Unit root tests
Covariates
Synergy
Cross-sectional dependence
Commodity prices
Unit root
Petroleum

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests. / Hadri, Kaddour; Kurozumi, Eiji; Yamazaki, Daisuke.

In: Manchester School, Vol. 83, No. 6, 01.12.2015, p. 676-700.

Research output: Contribution to journalArticle

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