A robust sign test for panel unit roots under cross sectional dependence

DOI10.1016/j.csda.2008.11.020zbMath1452.62679OpenAlexW2021436383MaRDI QIDQ961277

Soo Jung Park, Dong Wan Shin, Man-Suk Oh

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.11.020

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (3)

Nonstationary-volatility robust panel unit root tests and the great moderation ⋮ Testing for serial independence of panel errors ⋮ Robust panel unit root tests for cross-sectionally dependent multiple time series

Cites Work

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• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• A sign test for unit roots in a seasonal MTAR model
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for a unit root in panels with dynamic factors
• recursive Mean Adjustment for Unit Root Tests
• Dynamic panel estimation and homogeneity testing under cross section dependence
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
• Inferential Theory for Factor Models of Large Dimensions
• An invariant sign test for random walks based on recursive median adjustment

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