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

Kaddour Hadri, Eiji Kurozumi, Daisuke Yamazaki

研究成果: Contribution to journalArticle査読

1 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)676-700
ページ数25
ジャーナルManchester School
83
6
DOI
出版ステータス出版済み - 12 1 2015
外部発表はい

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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