TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE

DOI10.1017/S0266466608080067zbMath1280.62096OpenAlexW2040869098MaRDI QIDQ3632373

Samarjit Das, Jörg Breitung

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080067

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Panel cointegration with global stochastic trends, Lessons from a Decade of IPS and LLC, Forward detrending for heteroskedasticity-robust panel unit root testing, Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling, PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION, Cross-sectional dependence robust block bootstrap panel unit root tests, A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors, Heteroskedasticity‐Robust Unit Root Testing for Trending Panels, Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions

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