Testing for stationarity in heterogeneous panel data where the time dimension is finite
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Publication:5706718
DOI10.1111/j.1368-423X.2005.00151.xzbMath1076.62117MaRDI QIDQ5706718
Publication date: 21 November 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
central limit theoremunit root testsstationarity testsheterogeneous panel datamoments of two ratios of dependent quadratic forms
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)
Related Items (10)
Likelihood ratio tests for a unit root in panels with random effects ⋮ Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study ⋮ A simple panel stationarity test in the presence of serial correlation and a common factor ⋮ Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost ⋮ The accuracy of normal approximation in a heterogeneous panel data unit root test ⋮ TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION ⋮ PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION ⋮ A simple test for nonstationarity in mixed panels: a further investigation
Cites Work
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