Journal
JOURNAL OF ECONOMETRICS
Volume 169, Issue 1, Pages 29-33Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2012.01.008
Keywords
False discovery rate; Multiple testing; Unit root tests; Panel data; Bootstrap
Categories
Funding
- USC
- National Science Foundation
- FQRSC
- SSHRC
- MITACS
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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. (C) 2012 Elsevier B.V. All rights reserved.
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