Asymptotic normal tests for integration in panels with cross-dependent units

DOI10.1007/s10182-011-0153-6zbMath1477.62244OpenAlexW2057048134MaRDI QIDQ2006894

Matei Demetrescu, Adina I. Tarcolea, Uwe Hassler

Publication date: 12 October 2020

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-011-0153-6

zbMATH Keywords

cross-correlationSURGLSaugmented LM testheterogeneous panel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (5)

Estimation of fractionally integrated panels with fixed effects and cross-section dependence ⋮ Inference on trending panel data ⋮ ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects ⋮ Efficient inference on fractionally integrated panel data models with fixed effects

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Bias correction for the regression-based LM fractional integration test
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Fractional integration and the augmented Dickey--Fuller test
• On the power of unit root tests against fractional alternatives
• Testing for unit roots in heterogeneous panels.
• Inference on the cointegration rank in fractionally integrated processes.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for a unit root in panels with dynamic factors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• LONG MEMORY TESTING IN THE TIME DOMAIN
• HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
• Efficient Tests of Nonstationary Hypotheses
• Dynamic panel estimation and homogeneity testing under cross section dependence
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Time Series Regression with a Unit Root
• A Note on Combining Dependent Tests of Significance
• Panel unit root tests under cross‐sectional dependence

This page was built for publication: Asymptotic normal tests for integration in panels with cross-dependent units