Unit root tests for cross-sectionally dependent seasonal panels

DOI10.1016/J.ECONLET.2006.05.021zbMATH Open1254.91675OpenAlexW1979670182MaRDI QIDQ1929474FDOQ1929474

Authors: Yonghee Lee, Dong Wan Shin 

Publication date: 8 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.05.021

zbMATH Keywords

seasonal unit rootinstrumental variable estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Seasonal integration and cointegration
• Testing for unit roots in heterogeneous panels.
• Testing for a unit root in panels with dynamic factors
• A PANIC attack on unit roots and cointegration.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for Unit Roots in Seasonal Time Series
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Exploiting cross-section variation for unit root inference in dynamic data
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Recursive mean adjustment for unit root tests
• An instrumental variable approach for panel unit root tests under cross-sectional dependence

Cited In (1)

• Disentangling the source of non-stationarity in a panel of seasonal data

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