Cross-sectional dependence robust block bootstrap panel unit root tests

DOI10.1016/J.JECONOM.2010.11.010MaRDI QIDQ102088zbMATHOpenAlexWikidataFDO

Authors Franz C. Palm, Stephan Smeekes, Jean-Pierre Urbain, Franz C. Palm, Stephan Smeekes, Jean-Pierre Urbain

Publication date July 2011

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://cris.maastrichtuniversity.nl/en/publications/bed62ce6-884d-4ed9-acd7-ddcbf37bb063

zbMATH Keywords

block bootstrapcross-sectional dependencepanel unit root test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 7096038 (Why is no real title available?)
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• Weak and strong cross-section dependence and estimation of large panels

Cited in

(24)

• Bootstrap unit root tests in panels with cross-sectional dependency
• Comparison of panel unit root tests under cross sectional dependence
• Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• A bootstrap procedure for panel data sets with many cross-sectional units
• Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates
• An automated approach towards sparse single-equation cointegration modelling
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• Robust panel unit root tests for cross-sectionally dependent multiple time series
• bootUR
• Panel unit root tests in the presence of a multifactor error structure
• Robust block bootstrap panel predictability tests
• On bootstrapping panel factor series
• Block bootstrapping for a panel mean break test
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
• A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• A robust sign test for panel unit roots under cross sectional dependence
• Bootstrap innovational outlier unit root tests in dependent panels
• Panel unit root tests under cross-sectional dependence: an overview
• Nonparametric rank tests for non-stationary panels

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