CES VŠEM o aktuálních ekonomických problémech

for panels to eliminate cross-sectional dependence. 46 This test
enables us to test for different long run trajectories and
regression may also include different intercepts and trends
within a set of countries. Other pURTs such as the Harris and
Tzavalis's (1999) test, the Bai and Ng (2004) test or the Moon and
Perron (2004) test, are not covered in this paper as the main
purpose is to apply pURTs to data and not to discuss properties of
individual pURTs. For an overview see e.g. Gegenbach al., 2010.
In addition, if time series in a panel are assumed to have
a common numeraire country’s currency, 47 cross-serial
correlation is to be expected. Therefore, this setting requires an
application of pURTs that allows for serial correlation such as the
MADF test, see Harwey and Bates, 2003 or the panel corrected
standard error test (PCSE) see Jonsson, 2005. 48 But this does not
seem to be true in this case given the fact that our time series
are calculated against the euro. 49 As time series of exchange
rates in our sample cover a set of different countries, 50 it is not
certain whether all will follow a common unit root process or
not. Moreover, it seems to be reasonable to assume crosssectional
correlation between them. 51 Since our panel is large
with a medium dimension of cross sections, we will apply and
46 If is a demeaned time series (an exchange rate in our case), it does hold:
, where , i.e. is the exchange rate in relation
to the cross-section average.
47 This problem is described e.g. in [Banerjee al. (2005)].
48 While the LLC test may reject the null hypothesis even when one of the time
series is stationary, the MADF test is robust against that and the null is rejected
only if all time series are I(0). This test can also be applied in the case of unbalanced
panels.
49 Since the euro did not exist before January 1999 and they are based on artificial
calculations using the conversion rates for invidual countries and the euro
for the period (1995–1998) before euro adoption.
50 One may think of possible structural differences among them or the necessity
to overcome the ‘burden’ of past decades of communistic regimes.
51 Since correlation coefficients show relatively high correlation between time
series in our panel.
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