Testing for a unit root in a random coefficient panel data model

DOI10.1016/j.jeconom.2011.11.009zbMath1441.62902OpenAlexW2165996534MaRDI QIDQ738151

Joakim Westerlund, Rolf Larsson

Publication date: 15 August 2016

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

Full work available at URL: http://hdl.handle.net/2077/21170

zbMATH Keywords

panel unit root testlocal asymptotic powerrandom coefficient autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Statistical inference in a random coefficient panel model ⋮ Darling-Erdős limit results for change-point detection in panel data ⋮ A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR ⋮ Extensions of some classical methods in change point analysis ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES ⋮ Nonparametric rank tests for non-stationary panels ⋮ The effect of recursive detrending on panel unit root tests ⋮ The power of PANIC ⋮ A simple test for nonstationarity in mixed panels with incidental trends ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization ⋮ The Local Power of the CADF and CIPS Panel Unit Root Tests ⋮ A simple test for nonstationarity in mixed panels: a further investigation ⋮ New tools for understanding the local asymptotic power of panel unit root tests

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