Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application

DOI10.1111/j.1368-423X.2009.00287.xzbMath1284.62532MaRDI QIDQ3161681

Kaddour Hadri, A. R. Tremayne, Sirilath J. Desilva

Publication date: 15 October 2010

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

zbMATH Keywords

panel data; unit root tests; factor models; finite sample properties; efficient markets hypothesis; cross-section dependence

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Cites Work

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