Asymptotic normal tests for integration in panels with cross-dependent units
type: Item
instance of: scholarly article
title: Asymptotic normal tests for integration in panels with cross-dependent units
zbMATH Open document ID: 1477.62244
author: Uwe Hassler
author: Matei Demetrescu
author: Adina I. Tarcolea
published in: AStA. Advances in Statistical Analysis
publication date: 2020-10-12T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7259158
zbMATH Keywords: heterogeneous panel
zbMATH Keywords: cross-correlation
zbMATH Keywords: augmented LM test
zbMATH Keywords: SUR
zbMATH Keywords: GLS
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: s10182-011-0153-6
OpenAlex ID: W2057048134
cites work: LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
cites work: Q5475042
cites work: Nonstationary panels, panel cointegration, and dynamic panels
cites work: Panel unit root tests under cross‐sectional dependence
cites work: Inference on the cointegration rank in fractionally integrated processes.
cites work: Nonlinear IV unit root tests in panels with cross-sectional dependency.
cites work: Bootstrap unit root tests in panels with cross-sectional dependency
cites work: LONG MEMORY TESTING IN THE TIME DOMAIN
cites work: Bias correction for the regression-based LM fractional integration test
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: A Note on Combining Dependent Tests of Significance
cites work: A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
cites work: TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
cites work: On the power of unit root tests against fractional alternatives
cites work: Testing for unit roots in heterogeneous panels.
cites work: HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT
cites work: Fractional integration and the augmented Dickey--Fuller test
cites work: Unit root tests in panel data: asymptotic and finite-sample properties
cites work: Testing for a unit root in panels with dynamic factors
cites work: Time Series Regression with a Unit Root
cites work: Dynamic panel estimation and homogeneity testing under cross section dependence
cites work: Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
cites work: Efficient Tests of Nonstationary Hypotheses
cites work: An instrumental variable approach for panel unit root tests under cross-sectional dependence
cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT
DOI: 10.1007/S10182-011-0153-6
Recommended article: Testing for Panel Unit Roots under General Cross-sectional Dependence
Recommended article: Copula-based tests for cross-sectional independence in panel models
Recommended article: On the asymptotic \(t\)-test for large nonstationary panel models
Recommended article: Panel unit root tests under cross‐sectional dependence
Recommended article: PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
Recommended article: Panel Cointegration Rank Testing with Cross-Section Dependence
Recommended article: A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
Recommended article: A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
Recommended article: Rank-based tests of cross-sectional dependence in panel data models
Recommended article: Cross-sectional correlation robust tests for panel cointegration
description: scientific article; zbMATH DE number 7259158