Testing for stationarity in heterogeneous panel data where the time dimension is finite

DOI10.1111/j.1368-423X.2005.00151.xzbMath1076.62117MaRDI QIDQ5706718

Kaddour Hadri, Rolf Larsson

Publication date: 21 November 2005

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

zbMATH Keywords

central limit theoremunit root testsstationarity testsheterogeneous panel datamoments of two ratios of dependent quadratic forms

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (10)

Likelihood ratio tests for a unit root in panels with random effects ⋮ Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study ⋮ A simple panel stationarity test in the presence of serial correlation and a common factor ⋮ Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost ⋮ The accuracy of normal approximation in a heterogeneous panel data unit root test ⋮ TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION ⋮ PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION ⋮ A simple test for nonstationarity in mixed panels: a further investigation

Cites Work

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• Exploiting cross-section variation for unit root inference in dynamic data
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for stationarity in heterogeneous panel data
• Likelihood‐based cointegration tests in heterogeneous panels
• Linear Regression Limit Theory for Nonstationary Panel Data

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