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

DOI10.1016/J.CSDA.2008.07.008zbMATH Open1452.62643OpenAlexW1992248796MaRDI QIDQ1023937FDOQ1023937

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

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

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)

Cites Work

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

Cited In (8)

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

This page was built for publication: Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1023937)