Nelson and Plosser Revisited: A Re Examination using OECD Panel

Christophe Hurlin

Description

Niveau: Supérieur, Master
Nelson and Plosser Revisited: A Re-Examination using OECD Panel Data Christophe Hurlin November 2004 1

• panel


• error-component model


• independence assumption


• ternational panel


• defin- ing correlations


• individual time series


• cross-sectional independence

Informations

• Publié par: profil-mupheg-2012
• Nombre de lectures: 36
• Langue: English

Extrait

A NelsonandPlosserRevisited: Re-ExaminationusingOECD ataD ChristopheHurlin November 1 4002 enaPl

OMITAVITNOS 1 TwentytwoyearsaftertheseminalpaperbyNelsonand Plosser(1982),whytestingthepresenceofaunitrootin thesamemacroeconomicseriesbyusingapanelofOECD countries? • Testingthehomogeneityoftheunitrootresultinanin- ternationalpanelframework • Technicalreason:thepowerdeficienciesofpuretime series-basedtestsforunitrootsandcointegration,even forthe’’newgeneration’’ofpowerfulproceduresoftest (ADF-GLSinElliott,RothenbergandStock,1996,Max- ADFinLeybourne,1995). • Anewgenerationofpanelunitroottestsallowstotake intoaccountthegenuineinternationaldimensionofapanel. –Thesetestsrelaxtherestrictiveassumptionofcross- sectionalindependence. –Theinternational,sectoralorregionalco-movementsof theeconomicseries,largelydocumentedsinceforin- stanceBackusandKehoe(1992). 2