The accuracy of normal approximation in a heterogeneous panel data unit root test

DOI10.1007/s00362-006-0033-4zbMath1148.62073OpenAlexW2074854264MaRDI QIDQ946270

Kristian Jönsson

Publication date: 22 September 2008

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0033-4

zbMATH Keywords

simulationunit rootpanel datastationaritysmall-sample inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Multiple unit root tests under uncertainty over the initial condition: some powerful modifications

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Exploiting cross-section variation for unit root inference in dynamic data
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for stationarity in heterogeneous panel data
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Testing for stationarity in heterogeneous panel data where the time dimension is finite

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