Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap

DOI10.1016/j.csda.2008.07.008zbMath1452.62643OpenAlexW1992248796MaRDI QIDQ1023937

Helmut Herwartz, Florian Siedenburg

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.07.008

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Nonstationary-volatility robust panel unit root tests and the great moderation ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ Robust panel unit root tests for cross-sectionally dependent multiple time series ⋮ Heteroskedasticity‐Robust Unit Root Testing for Trending Panels ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions

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