An instrumental variable approach for panel unit root tests under cross-sectional dependence

DOI10.1016/j.jeconom.2005.06.021zbMath1418.62356OpenAlexW1990725150MaRDI QIDQ278051

Dong Wan Shin, Seung-Ho Kang

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.021

zbMATH Keywords

unit root testcross-sectional dependenceGaussian asymptoticsinstrumental variable estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (14)

Stationary bootstrapping for semiparametric panel unit root tests ⋮ A simple nonstationary-volatility robust panel unit root test ⋮ Unit root tests for cross-sectionally dependent seasonal panels ⋮ Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ Huber estimation for the network autoregressive model ⋮ Robust panel unit root tests for cross-sectionally dependent multiple time series ⋮ Tests for seasonal unit roots in panels of cross-sectionally correlated time series ⋮ A robust sign test for panel unit roots under cross sectional dependence ⋮ Optimal tests against the alternative hypothesis of panel unit roots ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ Unit root tests for panel MTAR model with cross-sectionally dependent error ⋮ The effect of recursive detrending on panel unit root tests ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances

Cites Work

• Unnamed Item
• Incidental trends and the power of panel unit root tests
• Exploiting cross-section variation for unit root inference in dynamic data
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Recursive mean adjustment for panel unit root tests
• Testing for a unit root in panels with dynamic factors
• recursive Mean Adjustment for Unit Root Tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Robust Statistics
• Recursive mean adjustment and tests for nonstationarities

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