A simple nonstationary-volatility robust panel unit root test

DOI10.1016/j.econlet.2012.04.067zbMath1254.91576OpenAlexW1986968060MaRDI QIDQ1925842

Matei Demetrescu, Christoph Hanck

Publication date: 27 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.04.067

zbMATH Keywords

time-varying volatility\(I(1)\) seriescross-dependent panelnonlinear IV

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

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ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ 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 ⋮ Heteroskedasticity‐Robust Unit Root Testing for Trending Panels ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Testing for a unit root in the presence of a variance shift
• The error-in-rejection probability of meta-analytic panel tests
• Testing for a unit root in panels with dynamic factors
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Panel unit root tests under cross‐sectional dependence

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