Finite-sample distribution of a recursively mean-adjusted panel data unit root test

DOI10.1080/10629360600570988MaRDI QIDQ3446976zbMATH OpenOpenAlexFDO

Authors Kristian Jönsson

Publication date 27 June 2007

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360600570988

zbMATH Keywords

Monte Carlo simulationpanel datarecursive mean adjustmentserial correlationtablesunit root test

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical chaos (65P20)

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Cites work

• Recursive mean adjustment for panel unit root tests
• Recursive mean adjustment for unit root tests
• Testing for unit roots in heterogeneous panels.

Cited in

(5)

• Panel unit root tests under cross section dependence with recursive mean adjustment
• On the finite-sample size distortion of smooth transition unit root tests
• Unit root tests in panel data: asymptotic and finite-sample properties
• Recursive mean adjustment for panel unit root tests
• The effect of recursive detrending on panel unit root tests

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