scholarly journals A simple panel unit root test in the presence of cross-section dependence

2007 ◽  
Vol 22 (2) ◽  
pp. 265-312 ◽  
Author(s):  
M. Hashem Pesaran
Keyword(s):  
Cross Section ◽  
Unit Root ◽  
Unit Root Test ◽  
Panel Unit Root Test ◽  
Panel Unit Root ◽  
Cross Section Dependence

scholarly journals A wavelet-based variance ratio unit root test for a system of equations

2019 ◽  
Vol 24 (3) ◽  
Author(s):  
Abdul Aziz Ali ◽  
Kristofer Månsson ◽  
Ghazi Shukur
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Unit Root ◽  
Unit Root Test ◽  
Applied Econometrics ◽  
Small Sample ◽  
System Of Equations ◽  
Panel Unit Root Test ◽  
Panel Unit Root ◽  
Cross Section Dependence

AbstractIn this paper, we suggest a unit root test for a system of equations using a spectral variance decomposition method based on the Maximal Overlap Discrete Wavelet Transform. We obtain the limiting distribution of the test statistic and study its small sample properties using Monte Carlo simulations. We find that, for multiple time series of small lengths, the wavelet-based method is robust to size distortions in the presence of cross-sectional dependence. The wavelet-based test is also more powerful than the Cross-sectionally Augmented Im et al. unit root test (Pesaran, M. H. 2007. “A Simple Panel Unit Root Test in the Presence of Cross-section Dependence.” Journal of Applied Econometrics 22 (2): 265–312.) for time series with between 20 and 100 observations, using systems of 5 and 10 equations. We demonstrate the usefulness of the test through an application on evaluating the Purchasing Power Parity theory for the Group of 7 countries and find support for the theory, whereas the test by Pesaran (Pesaran, M. H. 2007. “A Simple Panel Unit Root Test in the Presence of Cross-section Dependence.” Journal of Applied Econometrics 22 (2): 265–312.) finds no such support.

The effects of shocks on Turkish tourism demand: Evidence using panel unit root test

2020 ◽  
pp. 135481661989983 ◽  
Author(s):  
Yagmur Saglam ◽  
Apostolos Ampountolas
Keyword(s):  
Empirical Study ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Test ◽  
Transition Process ◽  
Smooth Transition ◽  
Tourism Demand ◽  
Panel Unit Root Test ◽  
Panel Unit Root

This empirical study examines the stationarity of tourism demand in Turkey in response to the effects of structural breaks, which indicate external or internal shocks based on tourist arrivals from 12 Slavic-speaking countries between 2000 and 2016. We employed a panel unit root test based on the Flexible Fourier approach, which Karul enhanced to allow gradual shifts and a smooth transition process; structural break dates come from the Carrion-i-Silvestre unit root test framework. The empirical findings indicate that there are differences in the effects of these structural breaks across the 12 countries in question.

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