Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods

DOI10.1016/j.econlet.2015.11.011zbMath1398.62229OpenAlexW2203305414MaRDI QIDQ1667980

Mauro Costantini, Claudio Lupi

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/12665

zbMATH Keywords

Monte Carlopanel unit rootROC curve\(p\) value distributionsequential panel selection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items

Structural changes in large economic datasets: a nonparametric homogeneity test

Cites Work

• Unnamed Item
• Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
• Testing for unit roots in heterogeneous panels.
• The error-in-rejection probability of meta-analytic panel tests
• Stochastic simulation: Algorithms and analysis
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• The Parameter Inference for Nearly Nonstationary Time Series
• An Intersection Test for Panel Unit Roots
• Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel