TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION

DOI10.1111/j.1467-8586.2009.00327.xzbMath1192.62257OpenAlexW2118643984MaRDI QIDQ3576891

Yao Rao, Kaddour Hadri, Ruijun Bu

Publication date: 3 August 2010

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-8586.2009.00327.x

zbMATH Keywords

model misspecificationstationarity testheterogeneous panel data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes (62M99)

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The accuracy of the higher order bias approximation for the 2SLS estimator
• Exploiting cross-section variation for unit root inference in dynamic data
• Testing for unit roots in heterogeneous panels.
• Testing for stationarity in heterogeneous panel data
• Linear Regression Limit Theory for Nonstationary Panel Data
• Breaking the panels: An application to the GDP per capita
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
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