Nonlinear IV panel unit root testing under structural breaks in the error variance

DOI10.1007/S00362-013-0502-5zbMath1416.62462OpenAlexW2084574770MaRDI QIDQ379930

Christoph Hanck, Matei Demetrescu

Publication date: 11 November 2013

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

Full work available at URL: https://doi.org/10.1007/s00362-013-0502-5

zbMATH Keywords

structural breaksheteroskedasticityEicker-White standard errorsnonlinear instrumental variablespanel unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Quantifying the data-dredging bias in structural break tests ⋮ Block bootstrapping for a panel mean break test ⋮ A general panel break test based on the self-normalization method ⋮ A simple nonstationary-volatility robust panel unit root test ⋮ Panel stationary tests against changes in persistence

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