title: Truncated Product Methods for Panel Unit Root Tests.
abstract: This paper proposes two new panel unit root tests based on Zaykin et al. (2002)'s truncated product method. The first one assumes constant correlation betweenp-values and the second one uses sieve bootstrap to allow for general forms of cross-section dependence in the panel units. Monte Carlo simulation shows that both tests have reasonably good size and are powerful in cases of some very largep-values. The proposed tests are applied to a panel of real GDP and inflation density forecasts, resulting in evidence that professional forecasters may not update their forecast precision in an optimal Bayesian way.
authors.affiliation: Department of Economics, American University, Washington, DC 20016, USA.
authors.forename: Xuguang
authors.initials: X
authors.lastname: Sheng
authors.forename: Jingyun
authors.initials: J
authors.lastname: Yang
keywords: Density Forecast; P-value; Panel Unit Root; Sieve Bootstrap; Truncated Product Method