The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors

DOI10.1007/S00362-014-0655-XzbMATH1349.62387OpenAlexW2032636658MaRDI QIDQ284178FDOQ284178

Authors Joakim Westerlund

Publication date 17 May 2016

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-014-0655-x

zbMATH Keywords

unit root testcommon factorcross-section augmentationerror serial correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• Lessons from a decade of IPS and LLC
• Panel unit root tests in the presence of a multifactor error structure
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Testing for unit roots in heterogeneous panels.
• The local power of the CADF and CIPS panel unit root tests

Cited in

(1)

• Lag truncation and the local asymptotic distribution of the ADF test for a unit root

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