A simple test for nonstationarity in mixed panels with incidental trends

DOI10.1016/J.ECONLET.2014.09.003MaRDI QIDQ2345138zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund

Publication date 19 May 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.09.003

zbMATH Keywords

bias correctionincidental trendslocal asymptotic powerpanel dataunit root test

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• A simple test for nonstationarity in mixed panels: a further investigation
• Incidental trends and the power of panel unit root tests
• Mean group tests for stationarity in heterogeneous panels
• Testing for a unit root in panels with dynamic factors
• Testing for stationarity in heterogeneous panel data

Cites work

• A simple test for nonstationarity in mixed panels with incidental trends
• Incidental trends and the power of panel unit root tests
• New tools for understanding the local asymptotic power of panel unit root tests
• Testing for a unit root in a random coefficient panel data model

Cited in

(2)

• A simple test for nonstationarity in mixed panels with incidental trends
• A simple test for nonstationarity in mixed panels: a further investigation

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