Panel unit root tests in the presence of a multifactor error structure

DOI10.1016/j.jeconom.2013.02.001zbMath1283.62178OpenAlexW3125223102MaRDI QIDQ2440389

Takashi Yamagata, L. Vanessa Smith, M. Hashem Pesaran

Publication date: 18 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0775.pdf

zbMATH Keywords

cross section dependencepanel unit root testsFisher inflation paritymultifactor error structurereal equity prices

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)

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