ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES

DOI10.1017/S0266466614000656zbMath1442.62193OpenAlexW3125561897MaRDI QIDQ5255873

Feike C. Drost, Ramon van den Akker, I. Gaia Becheri

Publication date: 22 June 2015

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

Full work available at URL: https://doi.org/10.1017/s0266466614000656

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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