CES VŠEM o aktuálních ekonomických problémech

1. all coefficients are tested via t-test;
2. test, where or;
3. the joint hypothesis that under the
and the last components of are zero. 36
As Cuestas (2009) mentions, rejection of the left side hypothesis
for the first and second tests means linear or non-linear trend
stationarity. (It cannot be decided which of the cases is true.)
Rejection of the right side means non-linear trend stationarity.
The third test is a one-sided test that does not give us any answer
regarding the trend as right side rejection is only the rejection of
the . All possibilities are summarised in the table 1.
Table 1: Alternative hypotheses (
) for the Bierens (1997) test
Test Left-side rejection
Right-side rejection
ST, TST or NTST NTST
ST, TST or NTST NTST
- ST, TST or NTST
Note: ST – (mean) stationary, TST – (linear) trend stationary, NTST –
non-linear (trend) stationarity. The test is only a one-sided test,
the and are specified for both sides. Source: Cuestas, 2009,
p. 92, own adaptation.
1.8 Panel unit root tests
The panel unit root tests are extensions of the URTs. Due to their
construction, they offer more than a simple inclusion of crosssectional
dimension. They differ as to what transformations are
used and they assume linearity of the underlying process. All
commonly used panel unit root tests assume the presence of
36 An alternative is a test proposed in [Bierens (1997)] with a standard null
distribution. The text also introduces three tests that are independent of the
assumed AR structure for the error term .
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