Optimal panel unit root testing with covariates

DOI10.1111/ECTJ.12118MaRDI QIDQ5084329zbMATH OpenOpenAlexWikidataFDO

Authors Artūras Juodis, Joakim Westerlund

Publication date 24 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10.1111/ectj.12118

zbMATH Keywords

covariatesGaussian power envelopepanel dataunit root test

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• The factor analytical approach in near unit root interactive effects panels
• Hybrid rank-based panel unit root tests
• Asymptotically uniformly most powerful tests for unit roots in Gaussian panels with cross-sectional dependence generated by common factors

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