Performance of unit root tests in unbalanced panels: experimental evidence

DOI10.1007/s10182-012-0203-8zbMath1443.62514OpenAlexW2052724475MaRDI QIDQ1621245

Verena Werkmann

Publication date: 8 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-012-0203-8

zbMATH Keywords

panel unit root testcross-sectional dependenceunbalanced panels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

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Cites Work

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• Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
• Some probability inequalities for ordered MTP\(_2\) random variables: a proof of the Simes conjecture
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• Testing for a unit root in panels with dynamic factors
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• Dynamic panel estimation and homogeneity testing under cross section dependence
• An improved Bonferroni procedure for multiple tests of significance
• A Note on Combining Dependent Tests of Significance
• An Intersection Test for Panel Unit Roots
• Panel unit root tests under cross‐sectional dependence

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