Point-optimal panel unit root tests with serially correlated errors

DOI10.1111/ECTJ.12030MaRDI QIDQ5093240zbMATH OpenOpenAlexFDO

Authors Hyungsik Roger Moon, Benoit Perron, Peter C. B. Phillips

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12030

zbMATH Keywords

bias correctionincidental trendslong-run variancepoint-optimal testserial dependence

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(5)

• Unit root test for short panels with serially correlated errors
• Optimal panel unit root testing with covariates
• 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
• Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

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