Double unit root tests for cross-sectionally dependent panel data

DOI10.1080/02664760802382400MaRDI QIDQ3183852zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Yoon Young Jung, Man-Suk Oh

Publication date 21 October 2009

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760802382400

zbMATH Keywords

defactoringnonstationaritypanel double unit rootsrecursive adjustmentsymmetric estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Comparison of panel unit root tests under cross sectional dependence
• Robust panel unit root tests for cross-sectionally dependent multiple time series
• Panel unit root tests under cross‐sectional dependence
• 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

Cites work

• A PANIC attack on unit roots and cointegration.
• Determining the Number of Factors in Approximate Factor Models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Estimation for autoregressive processes with unit roots
• scientific article; zbMATH DE number 53182 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Nonstationary panel data analysis: an overview of some recent developments
• Recursive mean adjustment for unit root tests
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties

This page was built for publication: Double unit root tests for cross-sectionally dependent panel data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3183852)