ROAD ROAD Repository of Open Access Documents
 

ROAD >
Tipologia di documenti >
4 - REPEC >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/243

 
Title: Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?
Authors: Costantini, Mauro
Lupi, Claudio
Keywords: Unit root
Panel data
ROC curve
Simulation
Issue Date: 29-Mar-2014
Abstract: Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are increasingly used to identify I (0) time series in macro- panels. We check the reliability of spsms by using Monte Carlo simulations based on generating the individual test statistics and the p values to be combined into panel unit root tests, both under the unit root null and under selected local alternatives. The analysis is carried out considering both independent and dependent t
...more
URI: http://hdl.handle.net/2192/243
Appears in Collections:4 - REPEC
Econpapers

Files in This Item:

File Description SizeFormat
ESDP14073.pdf508.35 kBAdobe PDFView/Open


This item is protected by original copyright

Recommend this item

Items in ROAD are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback ICT support by CINECA