Panelowe testy stacjonarności – możliwości i ograniczenia
Panel Unit Root Tests – Potential and Limitations
Author(s): Krystyna StrzałaSubject(s): Economy
Published by: Główny Urząd Statystyczny
Keywords: Panel unit root tests; homogenous and heterogenous panel data; PPP hypotheses; Feldstein- Horioka dilemma
Summary/Abstract: The paper aims at presenting panel unit root tests and pointing out the main similarities and differences among them. Shortfalls and potentials of PURT are discussed in a paper. Theoretical side is illustrated with the recent applications of PURT for evaluation and interpretation of economic hypothesis i.e. PPP and Feldstein-Horioka dilemma. Five PURT are considered, namely Levin, Lin (LL, 1992, 1993), Im, Pesaran and Shin (IPS, 1997), Harris and Tzavalis (HT,1999), Maddala and Wu (MW, 1999) and Hadri (H, 2000).
Journal: Przegląd Statystyczny. Statistical Review
- Issue Year: 56/2009
- Issue No: 1
- Page Range: 56-73
- Page Count: 18
- Language: Polish