CES VŠEM o aktuálních ekonomických problémech

I(1) (therefore called the Hadri LM stationarity test). According to
Hadri (2000) this test works well for medium and large
dimensions.
One of the second generation pURTs is the Pesaran’s CADF test
(Pesaran, 2007, CADF) which is analogous to the IPS test as it
allows checking for unit roots in heterogeneous panels. The CADF
stands for statistics based on univariate DF or ADF regressions
with first differences of individual time series and additional cross
section averages of lagged levels. Non-stationarity is assumed
under the , under the alternative only a fraction of time series
in the panel ( ) is stationary (similarity to the IPS test).
Individual pURTs differ in their treatments of the autoregressive
parameter ( ). IPS, HLM, and M-W, assume different
parameters (panel specific), i.e. , while the LLC works
with the assumption that they are the same. It is also important
to stress how individual pURTs treat changes in and
dimensions. As in our analysis, the dimension of (number of
countries) is small and may increase, it is reasonable to assume
that pURTs of the first generation (LLC, IPS, and H-LM) 44 would
perform better than other pURTs (for an overview see e.g.
Baltagi, 2008; Hlouskova and Wagner, 2005). 45
Some pURTs (IPS, H-LM) work with unbalanced panels as well,
thus , other pURTs work only with balanced panels.
Demeaned versions of panel unit root tests are recommended
44 In the case of the IPS and H-LM test it is necessary to rely on sequential limit
theory, i.e. the number of periods goes to infinity first and then the number of
cross-sections. This pattern determines properties of pURTs depending on the
actual and sizes.
45 Individual panel unit root tests also differ in the test statistics that are used
under the null. For example, Gaussian limiting distribution for the IPS test, the
non-parametric Fischer test based on distribution for the M-W test. That
leads to different powers of pURTs for various and . Banerjee al. (2005)
show some evidence of the power for individual tests.
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