Heteroskedasticity-robust unit root testing for trending panels

DOI10.1111/JTSA.12446MaRDI QIDQ5237524zbMATH OpenOpenAlexWikidataFDO

Authors Helmut Herwartz, Simone Maxand, Yabibal M. Walle

Publication date 18 October 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10138/318544

zbMATH Keywords

cross-sectional dependenceenergy use per capitanear epoch dependencenon-stationary volatilitypanel unit root tests

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

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Cites work

• A PANIC attack on unit roots and cointegration.
• A simple nonstationary-volatility robust panel unit root test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Lessons from a decade of IPS and LLC
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• 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
• Testing for unit roots in heterogeneous panels.
• TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
• Testing for unit roots in time series models with non-stationary volatility
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• The effect of recursive detrending on panel unit root tests
• Unit root tests in panel data: asymptotic and finite-sample properties
• Unit Root Tests under Time-Varying Variances
• Unit root tests with a break in innovation variance.

Cited in

(6)

• 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
• A simple nonstationary-volatility robust panel unit root test
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• Forward detrending for heteroskedasticity-robust panel unit root testing
• The accuracy of normal approximation in a heterogeneous panel data unit root test

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