English, Article edition: Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application S. de Silva; K. Hadri; A. R. Tremayne

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Bookmark: http://trove.nla.gov.au/version/107099
Physical Description
  • article
Language
  • English

Edition details

Title
  • Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
Author
  • S. de Silva
  • K. Hadri
  • A. R. Tremayne
Physical Description
  • article
Notes
  • This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new information criteria with improved properties in small-N panels proposed. An application to the efficient markets hypothesis is also provided. The null hypothesis of a panel random walk is not rejected by any of the tests, supporting the efficient markets hypothesis in the financial services sector of the Australian Stock Exchange. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009
  • RePEc:ect:emjrnl:v:12:y:2009:i:2:p:340-366
Language
  • English
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