Cross-sectional dependence robust block bootstrap panel unit root tests

DOI10.1016/j.jeconom.2010.11.010zbMath1441.62826OpenAlexW2166911879WikidataQ59107885 ScholiaQ59107885MaRDI QIDQ102088

Jean-Pierre Urbain, Franz C. Palm, Stephan Smeekes, Jean-Pierre Urbain, Stephan Smeekes, Franz C. Palm

Publication date: July 2011

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/bed62ce6-884d-4ed9-acd7-ddcbf37bb063

zbMATH Keywords

panel unit root testblock bootstrapcross-sectional dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

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Block bootstrapping for a panel mean break test, Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates, Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel, A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility, Panel unit root tests in the presence of a multifactor error structure, Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel, An Automated Approach Towards Sparse Single-Equation Cointegration Modelling, bootUR, Robust block bootstrap panel predictability tests, Nonparametric rank tests for non-stationary panels, Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

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