A simple nonstationary-volatility robust panel unit root test

DOI10.1016/J.ECONLET.2012.04.067MaRDI QIDQ1925842zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Christoph Hanck

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.04.067

zbMATH Keywords

\(I(1)\) seriescross-dependent panelnonlinear IVtime-varying volatility

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Statistical methods; economic indices and measures (91B82)

Recommendations

• Nonstationary-volatility robust panel unit root tests and the great moderation
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• A nonparametric unit root test under nonstationary volatility
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• Heteroskedasticity-robust unit root testing for trending panels

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Panel unit root tests under cross‐sectional dependence
• Testing for a unit root in panels with dynamic factors
• Testing for a unit root in the presence of a variance shift
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• The error-in-rejection probability of meta-analytic panel tests

Cited in

(9)

• Nonstationary-volatility robust panel unit root tests and the great moderation
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• Simple panel unit root tests to detect changes in persistence
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Heteroskedasticity-robust unit root testing for trending panels
• Adaptive long memory testing under heteroskedasticity
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• Forward detrending for heteroskedasticity-robust panel unit root testing

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