Essays on unit root testing in panel data

[摘要] This thesis discusses some issues on unit root testing in panel data. It first examines the intra-China price convergence by employing panel unit root tests that take cross-sectional dependence into account. Contrast to the existing literature, where tests assuming independence are employed and PPP is found in the vast majority of goods/services prices, our study finds mixed evidence in favor of PPP. Mixed panels with both I(1) and I(0) units are then considered, a large scale simulation study is undertaken. Size/power of panel unit root tests are examined under a variety of DGPs. A battery of procedures designed for mixed panels are employed, and their performance are examined by simulation. An application on intra-China PPP shows that, on average, only a small proportion of stationary units can be found in relative price panels. We then consider fractionally integrated processes and propose two different types of panel fractional integration test, a Fisher-type test and a multiple testing procedure that controls the false discovery rate (FDR) and classify units into null and alternative. Simulation evidence is provided. Empirical application shows that, in our intra-China PPP study, strong evidence can be found against the unit root null.

[发布机构] University:University of Birmingham;Department:Birmingham Business School, Department of Economics

[关键词] H Social Sciences;HF Commerce