Comparison of panel unit root tests under cross sectional dependence

DOI10.1016/J.ECONLET.2005.02.022MaRDI QIDQ1928647zbMATH OpenOpenAlexFDO

Authors Myoung Jin Jang, Dong Wan Shin

Publication date 3 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2005.02.022

zbMATH Keywords

powersizepooling\(t\)-bar testde-factoring

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Testing for panel unit roots under general cross-sectional dependence
• Cross-sectional dependence robust block bootstrap panel unit root tests
• Panel unit root tests under cross‐sectional dependence
• Panel unit root tests with cross-section dependence: a further investigation

Cites work

• A PANIC attack on unit roots and cointegration.
• Alternative methods of detrending and the power of unit root tests
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Efficient Tests for an Autoregressive Unit Root
• Recursive mean adjustment for panel unit root tests
• Recursive mean adjustment for unit root tests
• Testing for a unit root in panels with dynamic factors

Cited in

(18)

• Bootstrap unit root tests in panels with cross-sectional dependency
• Panel unit root tests by combining dependent \(P\) values: a comparative study
• On the Use of GLS Demeaning in Panel Unit Root Testing
• Panel unit root tests under cross‐sectional dependence
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Panel unit root tests under cross section dependence with recursive mean adjustment
• Double unit root tests for cross-sectionally dependent panel data
• Testing for panel unit roots under general cross-sectional dependence
• Cross-sectional dependence robust block bootstrap panel unit root tests
• 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
• Performance of unit root tests in unbalanced panels: experimental evidence
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• The local power of the CADF and CIPS panel unit root tests
• Panel unit root tests under cross-sectional dependence: an overview
• Unit root tests for cross-sectionally dependent panels: the influence of observed factors

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