Recursive mean adjustment for panel unit root tests
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Publication:1927573
DOI10.1016/j.econlet.2004.03.014zbMath1255.62283OpenAlexW1996758128MaRDI QIDQ1927573
Man-Suk Oh, Dong Wan Shin, Seung-Ho Kang
Publication date: 1 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2004.03.014
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)
Related Items (6)
An instrumental variable approach for panel unit root tests under cross-sectional dependence ⋮ Finite-sample distribution of a recursively mean-adjusted panel data unit root test ⋮ Comparison of panel unit root tests under cross sectional dependence ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Panel unit root tests under cross section dependence with recursive mean adjustment ⋮ The effect of recursive detrending on panel unit root tests
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Exploiting cross-section variation for unit root inference in dynamic data
- Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
- Testing for unit roots in heterogeneous panels.
- Nonlinear IV 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
- A time series illustration of approximate conditional likelihood
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Recursive mean adjustment and tests for nonstationarities
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