Journal
JOURNAL OF MODERN APPLIED STATISTICAL METHODS
Volume 14, Issue 2, Pages 159-171Publisher
WAYNE STATE UNIV PRESS
DOI: 10.22237/jmasm/1446351180
Keywords
Cross sectional dependence; outliers; unit root; robust test; panel model
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Funding
- Universiti Sains Islam Malaysia (USIM), Malaysia [USIM/ERGSFST-33-50312]
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Problems arise in testing the stationarity of the panel in the presence of cross sectional dependence and outliers. The currently available panel unit root tests are very much affected by the presence of outliers. As such, this article introduces an alternative test which is robust to outliers and cross sectional dependence. The performance and robustness of the proposed test is discussed and comparisons are made to the existing tests via simulation studies.
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