Panel stationary tests against changes in persistence
DOI10.1007/S00362-016-0864-6zbMATH Open1432.62293OpenAlexW2559766047WikidataQ59465081 ScholiaQ59465081MaRDI QIDQ2010784FDOQ2010784
Joakim Westerlund, Roy Cerqueti, Mauro Costantini, Luciano Gutierrez
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
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 (2)
This page was built for publication: Panel stationary tests against changes in persistence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010784)
