Using panel data to increase the power of modified unit root tests in the presence of structural breaks
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Publication:2490979
DOI10.1016/J.AMC.2005.01.090zbMATH Open1121.62558OpenAlexW1983252535MaRDI QIDQ2490979FDOQ2490979
Authors: Kristian Jönsson 
Publication date: 18 May 2006
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2005.01.090
Recommendations
- Model specification in panel data unit root tests with an unknown break
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- More powerful modifications of unit root tests allowing structural change
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
- Linear Regression Limit Theory for Nonstationary Panel Data
- Testing for unit roots in heterogeneous panels.
- Unit root tests in panel data: asymptotic and finite-sample properties
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Recursive mean adjustment for unit root tests
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- Finite-sample properties of modified unit root tests in the presence of structural change.
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
Cited In (3)
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