TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE

DOI10.1017/S0266466608080067zbMath1280.62096OpenAlexW2040869098MaRDI QIDQ3632373

Samarjit Das, Jörg Breitung

Publication date: 11 June 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608080067

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (9)

Panel cointegration with global stochastic trends ⋮ Lessons from a Decade of IPS and LLC ⋮ Forward detrending for heteroskedasticity-robust panel unit root testing ⋮ Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling ⋮ PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION ⋮ Cross-sectional dependence robust block bootstrap panel unit root tests ⋮ A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors ⋮ Heteroskedasticity‐Robust Unit Root Testing for Trending Panels ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions

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