Nonparametric Rank Tests for Non-stationary Panels

Pedroni, Peter; Vogelsang, Timothy J. and Wagner, MartinORCID: (June 2011) Nonparametric Rank Tests for Non-stationary Panels. Former Series > Working Paper Series > IHS Economics Series 270


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Abstract: This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence,the limiting distributions are valid for panels with finite cross-sectional dimensions.;

Item Type: IHS Series
Keywords: 'Nonparametric rank tests' 'Unit roots' 'Cointegration' 'Cross-sectional dependence'
Classification Codes (e.g. JEL): C12, C22, C23
Date Deposited: 26 Sep 2014 10:39
Last Modified: 20 Jul 2024 06:01
ISBN: 1605-7996

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