A generalized nonlinear IV unit root test for panel data with cross-sectional dependence

DOI10.1016/j.jeconom.2009.10.034zbMath1431.62424OpenAlexW1976131105MaRDI QIDQ530977

Jisheng Yang, Shaoping Wang, Zinai Li, Peng Wang

Publication date: 1 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.034

zbMATH Keywords

panel unit root testprincipal componentscross-sectional dependencenonlinear instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

Cites Work

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• Inference for unit roots in dynamic panels where the time dimension is fixed
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for a unit root in panels with dynamic factors
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Dynamic panel estimation and homogeneity testing under cross section dependence
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Efficient Tests for an Autoregressive Unit Root
• Panel unit root tests under cross‐sectional dependence
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models

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