Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions

DOI10.1080/07474938.2014.966638zbMath1491.62101OpenAlexW1968848694MaRDI QIDQ5864373

Florian Siedenburg, Helmut Herwartz, Yabibal M. Walle

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.966638

zbMATH Keywords

cross-sectional dependencenonstationary volatilitypanel unit root testsFisher hypothesis

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)

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Forward detrending for heteroskedasticity-robust panel unit root testing, A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility, Heteroskedasticity‐Robust Unit Root Testing for Trending Panels

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