Panel stationary tests against changes in persistence

DOI10.1007/S00362-016-0864-6MaRDI QIDQ2010784zbMATH OpenOpenAlexWikidataFDO

Authors Roy Cerqueti, Luciano Gutierrez, Joakim Westerlund, Mauro Costantini

Publication date 28 November 2019

Published in Statistical Papers (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00362-016-0864-6

zbMATH Keywords

stationaritypanel datapersistence

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Tests for a change in persistence against the null of difference‐stationarity
• Simple panel unit root tests to detect changes in persistence
• Modified tests for a change in persistence
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• CUSUM of Squares‐Based Tests for a Change in Persistence

Cites work

• A PANIC attack on unit roots and cointegration.
• A note on the pooling of individual panic unit root tests
• Detection of change in persistence of a linear time series
• Determining the Number of Factors in Approximate Factor Models
• Estimation of autoregressive roots near unity using panel data
• Inferential Theory for Factor Models of Large Dimensions
• Lessons from a decade of IPS and LLC
• Modified tests for a change in persistence
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• On the determination of the number of factors using information criteria with data-driven penalty
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for a change in persistence against the null of difference‐stationarity
• Tests of stationarity against a change in persistence

Cited in

(5)

• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
• Wilcoxon rank test for change in persistence
• Tests of stationarity against a change in persistence
• Simple panel unit root tests to detect changes in persistence
• Tests for a change in persistence against the null of difference‐stationarity

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