Sampling at different frequencies, and the power of panel unit root tests
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Publication:1038092
DOI10.1016/j.econlet.2008.11.012zbMath1175.62092MaRDI QIDQ1038092
Publication date: 17 November 2009
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2008.11.012
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Cites Work
- Incidental trends and the power of panel unit root tests
- Testing the random walk hypothesis: power versus frequency of observation
- Testing for unit roots in heterogeneous panels.
- Testing for a unit root in panels with dynamic factors
- Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
- Efficient Tests for an Autoregressive Unit Root
- Determining the Number of Factors in Approximate Factor Models