Nonlinear IV unit root tests in panels with cross-sectional dependency.
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Publication:1858972
DOI10.1016/S0304-4076(02)00095-7zbMath1038.62076OpenAlexW1976801657MaRDI QIDQ1858972
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00095-7
tablesunit root testsnonlinear instrumentsaverage IV \(t\)-ratio statisticspanels with cross-sectional dependency
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Minimax procedures in statistical decision theory (62C20) Asymptotic properties of parametric tests (62F05)
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