Unit root tests for cross-sectionally dependent panels: the influence of observed factors

DOI10.1016/j.jspi.2014.11.005zbMath1311.62129OpenAlexW3122141501MaRDI QIDQ2344381

I. Gaia Becheri, Ramon van den Akker, Feike C. Drost

Publication date: 15 May 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.11.005

zbMATH Keywords

panel unit root testlocal asymptotic mixed normalitylimit experimentasymptotic power envelope

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items

Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Incidental trends and the power of panel unit root tests
• A note on asymptotic inference in a class of non-stationary processes
• Asymptotic theory of conditional inference for stochastic processes
• Asymptotics in statistics: some basic concepts
• Testing for unit roots with stationary covariates
• Panel data unit roots tests: the role of serial correlation and the time dimension
• Testing for a unit root in panels with dynamic factors
• Panel unit root tests in the presence of a multifactor error structure
• Unit root inference in panel data models where the time‐series dimension is fixed: a comparison of different tests
• Asymptotic Statistics
• Stochastic Limit Theory
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Linear Regression Limit Theory for Nonstationary Panel Data
• Lessons from a Decade of IPS and LLC
• LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS
• ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES
• Most powerful conditional tests
• Tests for Unit Roots and the Initial Condition