A Panel Unit Root Test with Good Power in Small Samples

DOI10.1080/07474930802458620zbMath1172.62026OpenAlexW1971249306MaRDI QIDQ3183722

Claude Lopez

Publication date: 21 October 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802458620

zbMATH Keywords

tablespanel unit root testbootstrap testGLS-detrending

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

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Cites Work

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• The power of bootstrap and asymptotic tests
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Testing for unit roots in heterogeneous panels.
• 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
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Dynamic panel estimation and homogeneity testing under cross section dependence
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Efficient Tests for an Autoregressive Unit Root
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Determining the Number of Factors in Approximate Factor Models

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