Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes

DOI10.2202/1941-1928.1009zbMath1266.62061OpenAlexW2058169826MaRDI QIDQ4928515

Matei Demetrescu

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1009

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE ⋮ Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances

Cites Work

• Prediction of multivariate time series by autoregressive model fitting
• Unit root tests in panel data: asymptotic and finite-sample properties
• Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes

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