Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel

H. R. Moon; B. Perron

doi:10.1016/j.jeconom.2012.01.008

Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel

H. R. Moon, B. Perron

Department of Economics

Research output: Contribution to journal › Article › peer-review

53 Citations (Scopus)

Abstract

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classification on the basis of n individual (univariate) unit root tests based on some ad hoc significance level. In this paper, we suggest and demonstrate how to use the false discovery rate (FDR) in evaluating I(1)I(0) classifications.

Original language	English
Pages (from-to)	29-33
Number of pages	5
Journal	Journal of Econometrics
Volume	169
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2012.01.008
Publication status	Published - 2012 Jul

Bibliographical note

Funding Information:
The first author gratefully acknowledges financial support from the faculty development award of USC and the National Science Foundation . The second author gratefully acknowledges financial support from FQRSC , SSHRC , and MITACS .

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/j.jeconom.2012.01.008

Cite this

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Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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