Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap

Herwartz, Helmut; Siedenburg, Florian

doi:10.1016/j.csda.2008.07.008

Cited by 93 publications

(73 citation statements)

References 32 publications

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“…Panel unit root tests indicated with 'LLC' , 'BD' , 'HS' and 'DH' refer to Levin, Lin and Chu (2002), Breitung and Das (2005), Herwartz and Siedenburg (2008) and Demetrescu and Hanck (2012), respectively. Among these tests 'HS' and 'DH' have been shown to be robust to time varying covariances under suitable conditions.…”

Section: Panel Unit Root and Cointegration Testsmentioning

confidence: 99%

Ideology and redistribution through public spending

Herwartz

Theilen

2017

European Journal of Political Economy

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For a panel of OECD economies (1980OECD economies ( -2013 we analyse the scope of government ideology to shape patterns of public expenditures. To address if public expenditures are used to channel redistributive outcomes, we adopt a flexible panel error correction model and proceed in two steps: Firstly, we analyse if ideological positions matter for the sizing of the public sector. Secondly, we address the actual impact of government ideology on two disjoint categories of public expenditure that are characterized by distinguished redistributive effects. Under both, left-wing and right-wing governments, public spending shows progressively redistributive effects which are indirectly channelled through their policy response to changing macroeconomic, fiscal and demographic fundamentals. While right-wing governments act progressively redistributive under favourable socio-economic conditions, their left-wing counterparts do so under unfavourable conditions. Comparing the two effects in terms of their explanatory content, the latter is found stronger than the former.JEL classification: H53, H87, I18, D72, F13, F60, C22, C23

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Section: Panel Unit Root and Cointegration Testsmentioning

confidence: 99%

Ideology and redistribution through public spending

Herwartz

Theilen

2017

European Journal of Political Economy

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“…show that the proposed test works well in finite samples, and has satisfactory power which is comparable with the power of the tests in Herwartz and Siedenburg (2008) and Demetrescu and Hanck (2012a) under homoskedasticity.…”

Section: Introductionmentioning

confidence: 67%

“…Next, we present the White-type heteroskedasticity-robust PURTs suggested in Herwartz and Siedenburg (2008) and Demetrescu and Hanck (2012a).…”

Section: Homogeneous Panel Unit Root Testingmentioning

confidence: 99%

“…As the sign function of Cauchy instrumenting reduces the lagged level series to -1 and 1-irrespective of the underlying time varying volatility-these tests are argued to be robust to heteroskedasticity. Herwartz et al (2016) show that the non-Cauchy version of the test in Demetrescu and Hanck (2012a), which was initially proposed in Herwartz and Siedenburg (2008), is robust to volatility shifts. Another heteroskedasticity-robust PURT has been suggested by Westerlund (2014).…”

Section: Introductionmentioning

confidence: 97%

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Heteroskedasticity-Robust Unit Root Testing for Trending Panels

2017

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Simulation results reveal that the test tends to be conservative but shows remarkable power in finite samples. Terms of use: Documents in EconStor mayJEL Classification: C23, C12, Q40.

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“…However, all these first-generation tests tend to suffer from size distortions and have low power in the presence of cross-sectional dependence (Herwartz and Siedenburg 2008). This can lead to incorrect inference.…”

Section: Panel Unit Root and Cointegration Testsmentioning

confidence: 99%

Aluminum Consumption and Economic Growth: Evidence from Rich Countries

Jaunky

2012

Nat Resour Res

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The article attempts to test the aluminum consumption-economic growth nexus for 20 rich economies for the period 1970-2009. Various panel data unit root and cointegration tests are applied. The series are found to be integrated of order one and cointegrated, especially after controlling for cross-sectional dependence. Moreover, the Blundell-Bond system generalized methods-of-moments is employed to conduct a panel causality test in a vector errorcorrection mechanism setting. Unidirectional causality running from aluminum consumption to real GDP is uncovered in the short-run, while real GDP is found to Granger-cause aluminum consumption in the long-run. Moreover, a 1% increase in real GDP generates an increase of 0.44% in aluminum consumption in the long-run for the whole panel.

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Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap

Cited by 93 publications

References 32 publications

Ideology and redistribution through public spending

Ideology and redistribution through public spending

Heteroskedasticity-Robust Unit Root Testing for Trending Panels

Aluminum Consumption and Economic Growth: Evidence from Rich Countries

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