An LM-type test for idiosyncratic unit roots in the exact factor model with integrated factors

DOI10.1080/03610926.2015.1091079zbMath1462.62334OpenAlexW638723006MaRDI QIDQ5351732

Martin Solberger, Xingwu Zhou

Publication date: 30 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1091079

zbMATH Keywords

Lagrange multipliermaximum likelihoodlimiting distributionpanel unit rootdynamic factors

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

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