A new score test for unit roots in heterogeneous panels -- residual likelihood approach

DOI10.1016/J.ECONLET.2009.08.030zbMATH Open1185.62162OpenAlexW1976647309MaRDI QIDQ2270341FDOQ2270341

Authors: Yu Jin Oh, Yong B. Lim, Beong-Soo So 

Publication date: 18 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.08.030

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zbMATH Keywords

residual likelihoodheterogeneous panelstests for unit rootsnuisance mean parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• Nonstationary panels, panel cointegration, and dynamic panels
• Testing for unit roots in heterogeneous panels.
• Exploiting cross-section variation for unit root inference in dynamic data
• Nonlinear IV unit root tests in panels with cross-sectional dependency.

Cited In (4)

• Robust tests for unit roots in heterogeneous panels
• Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
• A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors
• Likelihood ratio tests for a unit root in panels with random effects

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