Testing for unit roots in panel data using a GMM approach

DOI10.1007/BF02925268zbMath0911.62085OpenAlexW3122854462MaRDI QIDQ1381198

Jörg Breitung

Publication date: 3 May 1999

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02925268

zbMATH Keywords

time seriesgeneralized method of momentsunit root tests

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Lessons from a Decade of IPS and LLC

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Formulation and estimation of dynamic models using panel data
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Exploiting cross-section variation for unit root inference in dynamic data
• Hypothesis Testing with Efficient Method of Moments Estimation
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

This page was built for publication: Testing for unit roots in panel data using a GMM approach