Recursive mean adjustment for panel unit root tests

DOI10.1016/j.econlet.2004.03.014zbMath1255.62283OpenAlexW1996758128MaRDI QIDQ1927573

Man-Suk Oh, Dong Wan Shin, Seung-Ho Kang

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.03.014

zbMATH Keywords

bias

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (6)

An instrumental variable approach for panel unit root tests under cross-sectional dependence ⋮ Finite-sample distribution of a recursively mean-adjusted panel data unit root test ⋮ Comparison of panel unit root tests under cross sectional dependence ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Panel unit root tests under cross section dependence with recursive mean adjustment ⋮ The effect of recursive detrending on panel unit root tests

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Exploiting cross-section variation for unit root inference in dynamic data
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Testing for a unit root in panels with dynamic factors
• recursive Mean Adjustment for Unit Root Tests
• A time series illustration of approximate conditional likelihood
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Recursive mean adjustment and tests for nonstationarities

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