Likelihood ratio tests for a unit root in panels with random effects

DOI10.1080/02331888.2016.1266630zbMath1370.62038OpenAlexW2556544333MaRDI QIDQ5283165

Joakim Westerlund, Rolf Larsson, Johan Lyhagen

Publication date: 20 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2016.1266630

zbMATH Keywords

asymptotic analysisrandom effectsunit rootpanel dataliklihood ratio test

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)

Cites Work

• Incidental trends and the power of panel unit root tests
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• The power of PANIC
• Testing for a unit root in panels with dynamic factors
• Panel unit root tests in the presence of a multifactor error structure
• Unit root tests for panel data with AR(1) errors and small T
• 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
• A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS
• Linear Regression Limit Theory for Nonstationary Panel Data
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Testing for stationarity in heterogeneous panel data where the time dimension is finite

This page was built for publication: Likelihood ratio tests for a unit root in panels with random effects