A Panel Unit Root Test with Good Power in Small Samples

DOI10.1080/07474930802458620MaRDI QIDQ3183722zbMATH OpenOpenAlexFDO

Authors Claude Lopez

Publication date 21 October 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930802458620

zbMATH Keywords

tablespanel unit root testbootstrap testGLS-detrending

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Unit root tests in panel data: asymptotic and finite-sample properties
• Panel unit root tests under cross‐sectional dependence
• An intersection test for panel unit roots
• On the power and interpretation of panel unit root tests
• Panel unit root tests and real exchange rates

Cites work

• A PANIC attack on unit roots and cointegration.
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Bootstrap unit root tests in panels with cross-sectional dependency
• Determining the Number of Factors in Approximate Factor Models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Efficient Tests for an Autoregressive Unit Root
• Inference for unit roots in dynamic panels where the time dimension is fixed
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.
• The power of bootstrap and asymptotic tests
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(12)

• A note on the pooling of individual panic unit root tests
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• An intersection test for panel unit roots
• Lessons from a decade of IPS and LLC
• On the Use of GLS Demeaning in Panel Unit Root Testing
• The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
• A Monte Carlo study on the size and power of panel unit root tests
• Panel unit root tests by combining dependent P values: a comparative study
• On the power and interpretation of panel unit root tests
• Quantile unit root inference for panel data with common shocks
• Unit root tests for panel data with AR(1) errors and small T
• Taking a new contour: a novel approach to panel unit root tests

This page was built for publication: A Panel Unit Root Test with Good Power in Small Samples

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3183722)