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Panel Unit Root - Hossain Academy Note

1. The document discusses the null and alternative hypotheses of five panel unit root tests: Levin-Lin-Chu, Breitung, Im-Pesaran-Shin, Fisher-type testing using ADF and PP tests, and Hadri. 2. For Levin-Lin-Chu, Breitung, and Im-Pesaran-Shin tests, the null hypothesis is that the panel data has a unit root, while the alternative is that it does not have a unit root. 3. For Fisher-type testing, the null is that the panel data has a unit root assuming individual unit root processes, while the alternative is that it does not. 4

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Abdullah Khatib
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137 views2 pages

Panel Unit Root - Hossain Academy Note

1. The document discusses the null and alternative hypotheses of five panel unit root tests: Levin-Lin-Chu, Breitung, Im-Pesaran-Shin, Fisher-type testing using ADF and PP tests, and Hadri. 2. For Levin-Lin-Chu, Breitung, and Im-Pesaran-Shin tests, the null hypothesis is that the panel data has a unit root, while the alternative is that it does not have a unit root. 3. For Fisher-type testing, the null is that the panel data has a unit root assuming individual unit root processes, while the alternative is that it does not. 4

Uploaded by

Abdullah Khatib
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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2020/3/28 Panel Unit Root - Hossain Academy Note

Panel Unit Root

Hossain Academy Note

EDITOR
Sayed Hossain
PANEL UNIT ROOT

AUTHORS What are the null and alternative hypothesis of panel unit root testing?
Sayed Hossain commented as such>
Abu Subhi
Ade Kutu
Afolabi Luqman 1. Levin, Lin and Chu
Abdullah Sonnet
Asad Zaman
Null: Panel data has unit root (assume common unit root process)
Atiq Rehman Alternative: Panel data does not have unit root.
Burcu Özcan
Ghumro Niaz Hussain
2. Breitung (2000)
Muhammad Anees Null: Panel data has unit root (assume common unit root process)
Mohammad Zhafran
Muzammil Bhatti
Alternative: Panel data does not have unit root.
Monis Syed 3. Im, Pesaran and Shin (2003)
Mine PD Null: Panel data has unit root (assume individual unit root process)
Moulana N. Cholovik
Muili Adebayo Hamid Alternative: Panel data does not have unit root.
Nicat Gasim 4. Fisher type testing using ADF and PP test (Maddala and Wu(1999)
Najid Iqbal
Nasiru Inuwa and Choi (2001)
Noman Arshed Null: Panel data has unit root (assume individual unit root process)
Rapelanoro Nady
Seye Olasehinde-Williams Alternative: Panel data does not have unit root.
Suborno Aditya 5. Hadri (1999)
Sayed Hossain
Shishir Sakya
Null: Panel data having no unit root (assume common unit root process)
Sheikh Muzammil Naseer Alternative: Panel data does have unit root.
Tella Oluwatoba Ibrahim
Younes Azzouz

POPOLAR BLOGS
Dave
Meo School of Research
Shishir Shakya
Noman Arshed

Univariate Models

Multivariate Models

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2020/3/28 Panel Unit Root - Hossain Academy Note

Panel Data Model

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