Simple panel unit root tests to detect changes in persistence

DOI10.1016/J.ECONLET.2007.02.014zbMath1255.62240OpenAlexW2053944218MaRDI QIDQ1934136

Luciano Gutierrez, Mauro Costantini

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.02.014

zbMATH Keywords

panel dataunit root testsstructural breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Cites Work

• Using panel data to increase the power of modified unit root tests in the presence of structural breaks
• Tests for a change in persistence against the null of difference‐stationarity
• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence

This page was built for publication: Simple panel unit root tests to detect changes in persistence