Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap

DOI10.1016/J.CSDA.2008.07.008MaRDI QIDQ1023937zbMATH OpenOpenAlexFDO

Authors Helmut Herwartz, Florian Siedenburg

Publication date 16 June 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.07.008

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• Bootstrap unit root tests in panels with cross-sectional dependency
• Panel unit root tests with cross-section dependence: a further investigation
• Cross-sectional dependence robust block bootstrap panel unit root tests
• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• Unit root tests in panel data: asymptotic and finite-sample properties
• Panel unit root tests under cross-sectional dependence: an overview
• Panel unit root tests under cross‐sectional dependence

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Sieve Bootstrap For The Test Of A Unit Root
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap inference in systems of single equation error correction models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrap unit root tests in panels with cross-sectional dependency
• Bootstrapping cointegrating regressions
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Jackknife, bootstrap and other resampling methods in regression analysis
• Panel unit root tests under cross‐sectional dependence
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test
• Testing for unit roots in autoregressions with multiple level shifts
• The bootstrap in econometrics
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(8)

• Forward detrending for heteroskedasticity-robust panel unit root testing
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• Nonstationary-volatility robust panel unit root tests and the great moderation
• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• Robust panel unit root tests for cross-sectionally dependent multiple time series
• Heteroskedasticity-robust unit root testing for trending panels
• A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions

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