Nonstationary-volatility robust panel unit root tests and the great moderation
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Cites work
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A PANIC attack on unit roots and cointegration.
- A robust sign test for panel unit roots under cross sectional dependence
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- An improved Bonferroni procedure for multiple tests of significance
- An intersection test for panel unit roots
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
- Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Heteroskedastic time series with a unit root
- Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Multiple Hypotheses Testing with Weights
- Multiple hypothesis testing in microarray experiments.
- On the distribution of Dickey--Fuller unit root statistics when there is a break in the innovation variance
- Panel unit root tests under cross‐sectional dependence
- Performance of unit root tests in unbalanced panels: experimental evidence
- Some probability inequalities for ordered MTP₂ random variables: a proof of the Simes conjecture
- Stepwise Multiple Testing as Formalized Data Snooping
- Stochastic Limit Theory
- Testing for a unit root in panels with dynamic factors
- Testing for a unit root in the presence of a variance shift
- Testing for unit roots in heterogeneous panels.
- Testing for unit roots in time series models with non-stationary volatility
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The econometrics of panel data. Fundamental and recent developments in theory and practice.
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Unit root testing with unstable volatility
- Unit root tests in panel data: asymptotic and finite-sample properties
- Unit root tests with a break in innovation variance.
Cited in
(4)- Heteroskedasticity-robust unit root testing for trending panels
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- Nonparametric panel stationarity testing with an application to crude oil production
- A simple nonstationary-volatility robust panel unit root test
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