Panel unit root tests under cross section dependence with recursive mean adjustment

DOI10.1016/J.ECONLET.2009.06.023MaRDI QIDQ1046271zbMATH OpenOpenAlexFDO

Authors Donggyu Sul

Publication date 21 December 2009

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2009.06.023

zbMATH Keywords

panel unit root testcross section dependencedynamic factorscovariate unit root testrecursive detrending

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• Recursive mean adjustment for panel unit root tests
• Panel unit root tests under cross‐sectional dependence
• Comparison of panel unit root tests under cross sectional dependence
• Testing for panel unit roots under general cross-sectional dependence
• Finite-sample distribution of a recursively mean-adjusted panel data unit root test

Cites work

• A PANIC attack on unit roots and cointegration.
• Determining the Number of Factors in Approximate Factor Models
• Recursive mean adjustment for panel unit root tests
• Recursive mean adjustment for unit root tests
• Recursive mean adjustment in time-series inferences

Cited in

(8)

• Recursive mean adjustment for panel unit root tests
• Backward mean transformation in unit root panel data models
• The effect of recursive detrending on panel unit root tests
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Finite-sample distribution of a recursively mean-adjusted panel data unit root test
• Detrending bootstrap unit root tests
• Mean reversion of the current account: Evidence from the panel data unit-root test

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