Suche Kontakt Impressum

Institut für VWL | UnivIS | ERASMUS | QIS | Site Plan

Christian-Albrechts-Universität zu Kiel

Institut für Volkswirtschaftslehre - Department of Economics
Economics Working Papers

Economics Working Papers: Abstract 2009-07




Helmut Herwartz, Florian Siedenburg




The effects of variance breaks on homogenous panel unit root tests
Abstract Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant innovation variances lose control over actual significance levels while the test proposed by Herwartz and Siedenburg (2008) retains size control. A simulation study of the finite sample properties confirms the theoretical results in finite samples. As an empirical illustration, we reassess evidence on the Fisher hypothesis.

Keywords: Panel unit root tests, variance breaks, cross sectional dependence, Fisher hypothesis.

JEL classification: C23, C12, E40




weiter zum Full Text

zurück zur Übersicht