Recursive mean adjustment for panel unit root tests

DOI10.1016/j.econlet.2004.03.014zbMath1255.62283MaRDI QIDQ1927573

Man-Suk Oh, Dong Wan Shin, Seung-Ho Kang

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.03.014

zbMATH Keywords

bias

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

65C05: Monte Carlo methods

Related Items

An instrumental variable approach for panel unit root tests under cross-sectional dependence, Panel unit root tests under cross section dependence with recursive mean adjustment, Comparison of panel unit root tests under cross sectional dependence, The effect of recursive detrending on panel unit root tests, Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors, Finite-sample distribution of a recursively mean-adjusted panel data unit root test

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Exploiting cross-section variation for unit root inference in dynamic data
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Testing for a unit root in panels with dynamic factors
• recursive Mean Adjustment for Unit Root Tests
• A time series illustration of approximate conditional likelihood
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Recursive mean adjustment and tests for nonstationarities