Optimal tests against the alternative hypothesis of panel unit roots

DOI10.1016/J.CSDA.2008.06.014zbMath1453.62132OpenAlexW2113882573MaRDI QIDQ961422

Dong Wan Shin, Yonghee Lee

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.2008.06.014

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)

Related Items (1)

Robust panel unit root tests for cross-sectionally dependent multiple time series

Cites Work

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• An instrumental variable approach for panel unit root tests under cross-sectional dependence
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• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Robust tests for spherical symmetry and their application to least squares regression
• Locally robust tests for serial correlation in least squares regression
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for a unit root in panels with dynamic factors
• Testing for stationarity in heterogeneous panel data
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

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