A panel data set where some (or all) of the time series contain unit roots.
Published in Chapter:
Panel Non-Stationarity Methods in Macro- and Microeconomic Studies
Georgi Marinov (University of Economics, Varna, Bulgaria)
Copyright: © 2021
|Pages: 24
DOI: 10.4018/978-1-7998-4933-9.ch005
Abstract
Panel data analysis aims to overcome the weaknesses of its alternatives: country-by-country analysis is usually based on short samples, there is a significant country-specific distortion in the data, and it leads to biased estimates, and the cross-section analysis neglects the time dimension. In last two decades, tests for non-stationary panels sparked a large body of literature both on tests theory and on various empirical studies in multiple areas of micro- and macroeconomic research. The most popular studies include topics such as growth, finance, exchange rates, fiscal matters, and international trade, but also popular are studies in tourism, energy, resource demand and supply, IT and technology spreading, politics, inflation, international trade and current accounts, stock markets, etc.