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Unpublished Paper
Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?
Economics & Statistics Discussion Papers (2014)
  • Mauro Costantini
  • Claudio Lupi, University of Molise
Abstract
Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are increasingly used to identify I (0) time series in macro-panels. We check the reliability of spsms by using Monte Carlo simulations based on generating the individual test statistics and the p values to be combined into panel unit root tests, both under the unit root null and under selected local alternatives. The analysis is carried out considering both independent and dependent test statistics. We show that spsms do not possess better classification performances than conventional univariate tests.
Keywords
  • Unit root,
  • Panel data,
  • Simulation,
  • ROC curve,
  • Discrete classifier
Publication Date
2014
Citation Information
Mauro Costantini and Claudio Lupi. "Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?" Economics & Statistics Discussion Papers (2014)
Available at: http://works.bepress.com/claudio_lupi/33/