Nonlinear IV unit root tests in panels with cross-sectional dependency.
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Recommendations
- Testing for unit roots in small panels with short-run and long-run cross-sectional dependencies
- A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
- An instrumental variable approach for panel unit root tests under cross-sectional dependence
- Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
- Bootstrap unit root tests in panels with cross-sectional dependency
Cites work
- Asymptotics for linear processes
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Bootstrap unit root tests in panels with cross-sectional dependency
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- Nonlinear econometric models with cointegrated and deterministically trending regressors
- Nonlinear Regressions with Integrated Time Series
- On limit processes for a class of additive functional of recurrent diffusion processes
- Panel unit root tests and real exchange rates
- Recursive mean adjustment in time-series inferences
- Testing for a unit root in time series regression
- Testing for unit roots in heterogeneous panels.
- Time Series Regression with a Unit Root
- Time series: theory and methods.
Cited in
(53)- A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
- Stationary bootstrapping for semiparametric panel unit root tests
- A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- Recursive demeaning and deterministic seasonality
- Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
- Robust tests for unit roots in heterogeneous panels
- Recursive mean adjustment for panel unit root tests
- Tests for asymmetry in possibly nonstationary dynamic panel models
- Properties of recursive trend-adjusted unit root tests
- Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator
- Asymptotic normal tests for integration in panels with cross-dependent units
- A new score test for unit roots in heterogeneous panels -- residual likelihood approach
- Nonparametric rank tests for non-stationary panels
- The effect of recursive detrending on panel unit root tests
- Panel data analysis -- advantages and challenges (with comments and rejoinder)
- Testing for a unit root in panels with dynamic factors
- Panel unit root tests in the presence of a multifactor error structure
- Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
- Robust panel unit root tests for cross-sectionally dependent multiple time series
- An instrumental variable approach for panel unit root tests under cross-sectional dependence
- Recursive adjustment, unit root tests and structural breaks
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- Panel cointegration with global stochastic trends
- Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
- Testing for unit roots in small panels with short-run and long-run cross-sectional dependencies
- Panel vector autoregression under cross-sectional dependence
- Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
- Some second generation panel unit root tests for investigating the validity of purchasing power parity
- Panel unit root tests with cross-section dependence: a further investigation
- TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
- A nonlinear IV likelihood-based rank test for multivariate time series and long panels
- IV-based cointegration testing in dependent panels with time-varying variance
- Heteroskedasticity-robust unit root testing for trending panels
- Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
- Taking a new contour: a novel approach to panel unit root tests
- The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
- Editorial. Annals Journal of Econometrics: Nonlinear and nonparametric methods in econometrics
- A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
- Panel unit root tests under cross‐sectional dependence
- Mean group tests for stationarity in heterogeneous panels
- Robust inference for near-unit root processes with time-varying error variances
- A reexamination of stock return predictability
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
- Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
- The effects of cross-section dimension n in panel co-integration test
- Residual based tests for cointegration in dependent panels
- Unit root tests for panel MTAR model with cross-sectionally dependent error
- Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test
- A robust sign test for panel unit roots under cross sectional dependence
- Optimal tests against the alternative hypothesis of panel unit roots
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