Testing for Panel Unit Roots under General Cross-sectional Dependence

DOI10.1080/03610918.2013.879178zbMath1359.62350OpenAlexW2082379211MaRDI QIDQ2816711

H. E. T. Holgersson, Ghazi Shukur, Kristofer Månsson

Publication date: 25 August 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://static.sys.kth.se/itm/wp/cesis/cesiswp327.pdf

zbMATH Keywords

invariancepanel dataunit rootslinear hypothesis

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pooling multivariate data under W, LR and LM tests
• Comparison of powers of a class of tests for multivariate linear hypothesis and independence
• Unbiasedness of invariant tests for MANOVA and other multivariate problems
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
• Testing for a unit root in panels with dynamic factors
• Some Results Useful in Multivariate Analysis
• TESTS OF SIGNIFICANCE IN CANONICAL ANALYSIS
• Testing for Multivariate Autocorrelation
• Testing for unit roots in autoregressive-moving average models of unknown order
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Testing for multivariate heteroscedasticity
• Testing autocorrelation in a system perspective testing autocorrelation
• Distribution of the Canonical Correlations and Asymptotic Expansions for Distributions of Certain Independence Test Statistics
• Linear Statistical Inference and its Applications
• Some New Test Criteria in Multivariate Analysis