Nelson and Plosser Revisited: A Re Examination using OECD Panel

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English
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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


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ANelsonandPlosserRevisited:Re-ExaminationusingOECDataDChristopheHurlinNovember14002enaPl
OMITAVITNOS1TwentytwoyearsaftertheseminalpaperbyNelsonandPlosser(1982),whytestingthepresenceofaunitrootinthesamemacroeconomicseriesbyusingapanelofOECDcountries?Testingthehomogeneityoftheunitrootresultinanin-ternationalpanelframeworkTechnicalreason:thepowerdeficienciesofpuretimeseries-basedtestsforunitrootsandcointegration,evenforthe’’newgeneration’’ofpowerfulproceduresoftest(ADF-GLSinElliott,RothenbergandStock,1996,Max-ADFinLeybourne,1995).Anewgenerationofpanelunitroottestsallowstotakeintoaccountthegenuineinternationaldimensionofapanel.–Thesetestsrelaxtherestrictiveassumptionofcross-sectionalindependence.–Theinternational,sectoralorregionalco-movementsoftheeconomicseries,largelydocumentedsinceforin-stanceBackusandKehoe(1992).2