Aνάρτηση Ερευνητικού Δοκιμίου των Ι. Καραβία, Η. Τζαβαλή και H. Zhang

Ερευνητικό Δοκίμιο no 03 ǀ Μάρτιος 2022 με τίτλο «Missing Values in Panel Data Unit Root Tests» των  I. Καραβία, Η.Τζαβαλή και H. Zhang

Περίληψη

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 greater test power, and that this result holds for all deterministic component specifications, such as intercepts, trends and structural breaks.

O I. Καραβίας είναι Assistant Professor, Department of Economics, University of Bermingham, O H. Τζαβαλής είναι Καθηγητής στο Tμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών και ο  H. Zhang είναι Καθηγητής, Department of Economics, Chinese University of Hong Kong.