On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Robust critical values for unit root tests for series with conditional heteroskedasticity errors using wild bootstrap

It is known that the normal Dickey-Fuller critical values for unit root tests are distort when conditional heteroskedasticity in the errors is present (Hamori and Tokihisa (1997)). In this paper we will be introducing robust critical values for unit root tests under the presence of conditional heteroskedasticity using wild bootstrapping methodology suggested by Wu (1986). Monte Carlo simulation...

Nonlinear IV Panel Unit Root Tests

This paper presents the nonlinear IV methodology as an effective inferential basis for nonstationary panels. The nonlinear IV method resolves the inferential difficulties in testing for unit roots arising from the intrinsic heterogeneities and cross-dependencies of panel models. Individual units are allowed to be dependent through correlations among innovations, interrelatedness of short-run dy...

Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries

There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes; at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unre...

On the power and interpretation of panel unit root tests

We demonstrate that panel unit root tests can have high power when a small fraction of the series is stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.  2000 Elsevier Science S.A. All rights reserved.