Tests for seasonal unit roots in panels of cross-sectionally correlated time series

DOI10.1080/02331880701600463zbMath1291.62157OpenAlexW2040122022MaRDI QIDQ5400784

Dong Wan Shin, Man-Suk Oh

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701600463

zbMATH Keywords

instrumental variable estimationHEGY modelsign instrument

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Disentangling the source of non-stationarity in a panel of seasonal data

Cites Work

• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Asymmetry and nonstationarity for a seasonal time series model
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Exploiting cross-section variation for unit root inference in dynamic data
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Testing for unit roots in heterogeneous panels.
• Testing for seasonal unit roots in heterogeneous panels
• Testing for a unit root in panels with dynamic factors
• recursive Mean Adjustment for Unit Root Tests
• The Econometric Analysis of Seasonal Time Series
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Testing for Unit Roots in Seasonal Time Series
• Inferential Theory for Factor Models of Large Dimensions

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