Unit root tests for cross-sectionally dependent seasonal panels

DOI10.1016/j.econlet.2006.05.021zbMath1254.91675OpenAlexW1979670182MaRDI QIDQ1929474

Yonghee Lee, Dong Wan Shin

Publication date: 8 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.05.021

zbMATH Keywords

seasonal unit rootinstrumental variable estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Disentangling the source of non-stationarity in a panel of seasonal data

Cites Work

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• Dynamic panel estimation and homogeneity testing under cross section dependence
• Testing for Unit Roots in Seasonal Time Series