Misleading Inferences from Panel Unit Root Tests: A Comment

Review of International Economics, Vol. 14, No. 2, pp. 508-511, 2006

4 Pages Posted: 10 Sep 2010

See all articles by George S. Ford

George S. Ford

Phoenix Center for Advanced Legal & Economic Public Policy Studies

John D. Jackson

Auburn University - Department of Economics

Audrey D. Kline

University of Louisville College of Business

Multiple version iconThere are 3 versions of this paper

Date Written: 2006

Abstract

In their 2001 paper, Breuer, McNown, and Wallace argue that panel unit root tests are flawed in that the “all or nothing nature of these procedures may lead to serious misinterpretations of tests applied to mixed panels” (2001, p. 483). The authors propose an alternative test, the SURADF test, which allows for and estimates heterogeneous rates of convergence.We show that SURADF test results are highly sensitive to the selection of panel members. As such, application of the SURADF test seems to require a sound basis for panel member selection and a caveat that all results are panel-specific.

Keywords: Unit Root, Panel Unit Root, PPP, Purchasing Power Parity, SURADF

JEL Classification: C33

Suggested Citation

Ford, George S. and Jackson, John Douglas and Kline, Audrey D., Misleading Inferences from Panel Unit Root Tests: A Comment (2006). Review of International Economics, Vol. 14, No. 2, pp. 508-511, 2006. Available at SSRN: https://ssrn.com/abstract=1674555

George S. Ford (Contact Author)

Phoenix Center for Advanced Legal & Economic Public Policy Studies ( email )

5335 Wisconsin Avenue, NW
Suite 440
Washington, DC 20015
United States

John Douglas Jackson

Auburn University - Department of Economics ( email )

415 W. Magnolia
Auburn, AL 36849-5242
United States

Audrey D. Kline

University of Louisville College of Business ( email )

Louisville, KY 40292
United States
502-852-4839 (Phone)
502-852-7557 (Fax)

HOME PAGE: http://business.louisville.edu

Register to save articles to
your library

Register

Paper statistics

Downloads
21
Abstract Views
495
PlumX Metrics