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Article
A simple panel-CADF test for unit roots
Oxford Bulletin of Economics & Statistics (2013)
  • Mauro Costantini
  • Claudio Lupi, University of Molise
Abstract

In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.

Keywords
  • Unit root,
  • Panel data,
  • Approximate p values,
  • Monte Carlo
Publication Date
2013
Citation Information
Mauro Costantini and Claudio Lupi. "A simple panel-CADF test for unit roots" Oxford Bulletin of Economics & Statistics Vol. 75 Iss. 2 (2013)
Available at: http://works.bepress.com/claudio_lupi/1/