Simple panel unit root tests to detect changes in persistence

DOI10.1016/J.ECONLET.2007.02.014zbMATH Open1255.62240OpenAlexW2053944218MaRDI QIDQ1934136FDOQ1934136

Authors Luciano Gutierrez, Mauro Costantini

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.02.014

zbMATH Keywords

panel datastructural breaksunit root tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
• A simple nonstationary-volatility robust panel unit root test
• Testing for a unit root in panels with dynamic factors
• Panel data unit root test with fixed time dimension
• Panel stationary tests against changes in persistence
• Panel unit root tests under cross‐sectional dependence
• Testing for unit roots in panel data: an exploration using real and simulated data
• Testing for unit roots in short panels allowing for a structural break

Cites work

• On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
• Tests for a change in persistence against the null of difference‐stationarity
• Using panel data to increase the power of modified unit root tests in the presence of structural breaks

Cited in

(2)

• Panel stationary tests against changes in persistence
• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests

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