Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
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Publication:3157839
DOI10.1081/ETC-120039607zbMath1123.62065MaRDI QIDQ3157839
Elias Tzavalis, Richard D. F. Harris
Publication date: 19 January 2005
Published in: Econometric Reviews (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (5)
Testing for unit roots in short panels allowing for a structural break ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence ⋮ Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends ⋮ Local power of panel unit root tests allowing for structural breaks
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