The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(\(p\)) errors

DOI10.1007/S00362-014-0655-XzbMath1349.62387OpenAlexW2032636658MaRDI QIDQ284178

Joakim Westerlund

Publication date: 17 May 2016

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0655-x

zbMATH Keywords

unit root testcommon factorcross-section augmentationerror serial correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Lag truncation and the local asymptotic distribution of the ADF test for a unit root

Cites Work

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• Testing for unit roots in heterogeneous panels.
• Panel unit root tests in the presence of a multifactor error structure
• Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
• Lessons from a Decade of IPS and LLC
• The Local Power of the CADF and CIPS Panel Unit Root Tests

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