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

DOI10.1016/J.ECONLET.2009.08.030MaRDI QIDQ2270341zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Likelihood ratio tests for a unit root in panels with random effects
• Testing for unit roots in heterogeneous panels.
• Robust tests for unit roots in heterogeneous panels
• Testing for stationarity in heterogeneous panel data
• Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives

Cites work

• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• Exploiting cross-section variation for unit root inference in dynamic data
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Nonstationary panels, panel cointegration, and dynamic panels
• Testing for unit roots in heterogeneous panels.

Cited in

(4)

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

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