Unit root inference in panel data models where the time‐series dimension is fixed: a comparison of different tests

DOI10.1111/J.1368-423X.2009.00302.XzbMath1187.62144MaRDI QIDQ3563652

Edith Madsen

Publication date: 1 June 2010

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

initial valueslocal alternativesunit rootsdynamic panel data model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (10)

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 ⋮ Lessons from a Decade of IPS and LLC ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ A Monte Carlo study on the size and power of panel unit root tests ⋮ Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends ⋮ A fixed-\(T\) version of Breitung's panel data unit root test ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES ⋮ Unit root tests for cross-sectionally dependent panels: the influence of observed factors ⋮ Local power of panel unit root tests allowing for structural breaks

Cites Work

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• Estimating cointegrating relations from a cross section
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• LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS
• Tests for Unit Roots and the Initial Condition

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