Pooled panel unit root tests and the effect of past initialization

DOI10.1080/07474938.2013.833829MaRDI QIDQ5864362zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2013.833829

zbMATH Keywords

initial valuelocal asymptotic powerpanel unit root test

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Unit root tests in panel data: asymptotic and finite-sample properties
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
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Cites work

• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Asymptotics for stationary very nearly unit root processes
• Efficient Tests for an Autoregressive Unit Root
• Estimation of autoregressive roots near unity using panel data
• How to estimate autoregressive roots near unity
• Incidental trends and the power of panel unit root tests
• Linear Regression Limit Theory for Nonstationary Panel Data
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
• Minimizing the impact of the initial condition on testing for unit roots
• Nonstationary panels, panel cointegration, and dynamic panels
• Panel unit root tests with cross-section dependence: a further investigation
• Power of a Unit-Root Test and the Initial Condition
• Testing for a unit root in a random coefficient panel data model
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.
• Tests for Unit Roots and the Initial Condition
• Unit root and cointegrating limit theory when initialization is in the infinite past
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Unit root tests in panel data: asymptotic and finite-sample properties

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