Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

DOI10.1080/00949650701719136zbMath1161.62079OpenAlexW2169816855WikidataQ59200910 ScholiaQ59200910MaRDI QIDQ3615066

Jesus Otero, Jeremy Smith, Monica Giulietti

Publication date: 17 March 2009

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://publications.aston.ac.uk/id/eprint/30296/

zbMATH Keywords

tablesbootstrapMonte Carlounit root testscross-section dependenceheterogeneous dynamic panels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (2)

A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ PPP in OECD countries: an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks

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?
• Testing for unit roots in heterogeneous panels.
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for stationarity in heterogeneous panel data
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study

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