Panel unit root tests under cross section dependence with recursive mean adjustment

DOI10.1016/j.econlet.2009.06.023zbMath1181.62146OpenAlexW2105600489MaRDI QIDQ1046271

Donggyu Sul

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

zbMATH Keywords

dynamic factorspanel unit root testcross section dependencecovariate unit root testrecursive detrending

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (4)

Detrending Bootstrap Unit Root Tests ⋮ Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ The effect of recursive detrending on panel unit root tests

Cites Work

• Recursive mean adjustment in time-series inferences
• Recursive mean adjustment for panel unit root tests
• recursive Mean Adjustment for Unit Root Tests
• Determining the Number of Factors in Approximate Factor Models
• Unnamed Item

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