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L. Vanessa Smith
;
Stephen J. Leybourne
;
Tae-Hwan Kim
;
Paul Newbold

more powerful panel data unit root tests with an application to mean reversion in real exchange rates (replication data)

Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected.

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Smith, L. Vanessa; Leybourne, Stephen J.; Kim, Tae-Hwan; Newbold, Paul (2004): More powerful panel data unit root tests with an application to mean reversion in real exchange rates (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0705854818

Related Publication

Smith, L., Leybourne, S., Kim, T. and Newbold, P. (2004), More Powerful Panel Data Unit Root Tests With An Application To Mean Reversion In Real Exchange Rates, Journal of Applied Econometrics, 19(2), 147-170. https://doi.org/10.1002/jae.723

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