A note on the pooling of individual panic unit root tests

DOI10.1017/S0266466609990351MaRDI QIDQ3652629zbMATH OpenFDO

Authors Joakim Westerlund, Rolf Larsson

Publication date 15 December 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466609990351

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• A PANIC attack on unit roots and cointegration.
• The power of PANIC
• Unit root tests in panel data: asymptotic and finite-sample properties
• Panel unit root tests with cross-section dependence: a further investigation
• A Panel Unit Root Test with Good Power in Small Samples

Cites work

• A PANIC attack on unit roots and cointegration.
• Bartlett Corrections for Unit Root Test Statistics
• Inferential Theory for Factor Models of Large Dimensions
• Testing for unit roots in heterogeneous panels.
• The moments of products of quadratic forms in normal variables

Cited in

(9)

• Panel stationary tests against changes in persistence
• New tools for understanding the local asymptotic power of panel unit root tests
• Panel unit root tests in the presence of a multifactor error structure
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• Panel unit root tests with cross-section dependence: a further investigation
• Testing economic convergence in non-stationary panel
• Combining p-values in non-stationary panels
• Likelihood ratio tests for a unit root in panels with random effects
• A PANIC attack on unit roots and cointegration.

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