Misleading Inferences from Panel Unit Root Tests: A Comment

4 Pages Posted: 28 Jun 2006

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

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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.

Suggested Citation

Ford, George S. and Jackson, John Douglas and Kline, Audrey D., Misleading Inferences from Panel Unit Root Tests: A Comment. Review of International Economics, Vol. 14, No. 3, pp. 508-511, August 2006. Available at SSRN: https://ssrn.com/abstract=912566 or http://dx.doi.org/10.1111/j.1467-9396.2006.00592.x

George S. Ford (Contact Author)

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

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John Douglas Jackson

Auburn University - Department of Economics ( email )

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Audrey D. Kline

University of Louisville College of Business ( email )

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

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

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