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OLS Field Name OLS Field Data
Main Title Bootstrap sequential tests to determine the stationary units in a panel /
Author Smeekes, Stephan.
Publisher METEOR, Maastricht research school of Economics of Technology and Organizations,
Year Published 2011
OCLC Number 796088339
Subjects Panel analysis. ; Sequential analysis. ; Bootstrap (Statistics)
Internet Access
Description Access URL
Library Call Number Additional Info Location Last
ELBM  HA31.2.S64 2011 AWBERC Library/Cincinnati,OH 06/25/2012
Collation 36 p. ; 28 cm.
"RM/11/003." Includes bibliographical references (p. 25-27).
Contents Notes
We propose an approach to investigate the stationarity properties of individual units in a panel based on testing user-defined increasing proportions of hypothesized stationary units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential approach has an advantage over multiple testing approaches, in particular if N is large and T is small, as it can exploit the cross-sectional dimension, which the multiple testing approaches cannot do effectively. A simulation study is conducted to analyze the relative performance of the approach in comparison with multiple testing approaches. The method is also illustrated by two empirical applications, in testing for unit roots in real exchange rates and log earnings data of households. The simulation study and applications demonstrate the usefulness of our method, in particular in panels with large N and small T.