Quantile unit root inference for panel data with common shocks

DOI10.1016/J.ECONLET.2022.110809zbMath1496.62159OpenAlexW4292673639MaRDI QIDQ2083566

Biqing Cai, Jinbao Wei, Jisheng Yang

Publication date: 11 October 2022

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110809

zbMATH Keywords

quantile regressionpanel datapurchasing power parityunit root testcommon shocks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Testing for explosive bubbles in the presence of non-Gaussian conditions

Cites Work

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• A time series model for an exchange rate in a target zone with applications
• Testing for unit roots in heterogeneous panels.
• Panel unit root tests in the presence of a multifactor error structure
• Unit root quantile autoregression testing using covariates
• Unit Root Quantile Autoregression Inference
• Testing for a unit root in a nonlinear quantile autoregression framework

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