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Article
Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods
Economics Letters (2016)
  • Mauro Costantini
  • Claudio Lupi
Abstract
Sequential panel selection methods (spsms — procedures that sequentially use conventional panel unit root tests to identify I(0)I(0) time series in panels) are increasingly used in the empirical literature. We check the reliability of spsms by using Monte Carlo simulations based on generating directly the individual asymptotic p values to be combined into the panel unit root tests, in this way isolating the classification abilities of the procedures from the small sample properties of the underlying univariate unit root tests. The simulations consider both independent and cross-dependent individual test statistics. Results suggest that spsms may offer advantages over time series tests only under special conditions.
Keywords
  • Panel unit root,
  • Monte Catlo,
  • p-value distribution,
  • ROC curve
Publication Date
January, 2016
Citation Information
Mauro Costantini and Claudio Lupi. "Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods" Economics Letters Vol. 138 (2016) p. 9 - 14
Available at: http://works.bepress.com/claudio_lupi/34/