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DC Field | Value | Language |
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dc.contributor.author | Karavias, Y | - |
dc.contributor.author | Tzavalis, E | - |
dc.contributor.author | Zhang, H | - |
dc.date.accessioned | 2023-11-23T20:25:10Z | - |
dc.date.available | 2023-11-23T20:25:10Z | - |
dc.date.issued | 2022-03-16 | - |
dc.identifier | ORCID iD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 | - |
dc.identifier | 12 | - |
dc.identifier.citation | Karavias, Y., Tzavalis. E. and Zhang, H. (2022) 'Missing Values in Panel Data Unit Root Tests', Econometrics, 10 (1), 12, pp. 1 - 11. doi: 10.3390/econometrics10010012. | en_US |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/27716 | - |
dc.description | Data Availability Statement: Not applicable. | en_US |
dc.description.abstract | Copyright . Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time period for all units. However, this approach can be costly in terms of lost information. Instead, existing panel unit root tests could be extended to the case of unbalanced panels, but this is often difficult because the missing observations affect the bias correction which is usually involved. This paper contributes to the literature in two ways; it extends two popular panel unit root tests to allow for missing values, and secondly, it employs asymptotic local power functions to analytically study the impact of various missing-value methods on power. We find that zeroing-out the missing observations is the method that results in the greater test power, and that this result holds for all deterministic component specifications, such as intercepts, trends and structural breaks. | en_US |
dc.description.sponsorship | This research received no external funding. | en_US |
dc.format.extent | 1 - 11 | - |
dc.language | English | - |
dc.language.iso | en_US | en_US |
dc.publisher | MDPI | en_US |
dc.rights | Copyright © 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | panel unit root tests | en_US |
dc.subject | local power function | en_US |
dc.subject | missing values | en_US |
dc.subject | bias correction | en_US |
dc.subject | unbalanced panel | en_US |
dc.subject | structural breaks | en_US |
dc.title | Missing Values in Panel Data Unit Root Tests | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.3390/econometrics10010012 | - |
dc.relation.isPartOf | Econometrics | - |
pubs.issue | 1 | - |
pubs.publication-status | Published | - |
pubs.volume | 10 | - |
dc.identifier.eissn | 2225-1146 | - |
dc.rights.holder | The authors | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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