TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION

This paper investigates the performance of the tests proposed by Hadri and by Hadri and Larsson for testing for stationarity in heterogeneous panel data under model misspecification. The panel tests are based on the well known KPSS test (cf. Kwiatkowski et al.) which considers two models: stationari...

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Bibliographic Details
Published in:Bulletin of economic research 2010-07, Vol.62 (3), p.209-225
Main Authors: Rao, Yao, Hadri, Kaddour, Bu, Ruijun
Format: Article
Language:English
Subjects:
Asymptotic methods
C12
C23
C52
Distribution
Economic models
Estimation
Experiments
heterogeneous panel data
Impact analysis
model misspecification
Model testing
Monte Carlo simulation
Panel data
Probability theory
Property
Significance tests
Stationarity
stationarity test
Statistical models
Studies
Tests
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