Panel stationary tests against changes in persistence

DOI10.1007/S00362-016-0864-6zbMATH Open1432.62293OpenAlexW2559766047WikidataQ59465081 ScholiaQ59465081MaRDI QIDQ2010784FDOQ2010784

Authors: Roy Cerqueti, Luciano Gutierrez, Joakim Westerlund, Mauro Costantini 

Publication date: 28 November 2019

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0864-6

Recommendations

• Tests for a change in persistence against the null of difference‐stationarity
• Simple panel unit root tests to detect changes in persistence
• Modified tests for a change in persistence
• Tests of stationarity against a change in persistence
• CUSUM of Squares‐Based Tests for a Change in Persistence

zbMATH Keywords

stationaritypanel datapersistence

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• A PANIC attack on unit roots and cointegration.
• Detection of change in persistence of a linear time series
• Tests for a change in persistence against the null of difference‐stationarity
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Lessons from a decade of IPS and LLC
• Estimation of autoregressive roots near unity using panel data
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• On the determination of the number of factors using information criteria with data-driven penalty
• A note on the pooling of individual panic unit root tests

Cited In (5)

• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
• Wilcoxon rank test for change in persistence
• Tests of stationarity against a change in persistence
• Simple panel unit root tests to detect changes in persistence
• Tests for a change in persistence against the null of difference‐stationarity

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