Panel unit root tests under cross section dependence with recursive mean adjustment
From MaRDI portal
Publication:1046271
DOI10.1016/j.econlet.2009.06.023zbMath1181.62146MaRDI QIDQ1046271
Publication date: 21 December 2009
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2009.06.023
dynamic factors; panel unit root test; cross section dependence; covariate unit root test; recursive detrending
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
Related Items
The effect of recursive detrending on panel unit root tests, Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors, Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
Cites Work