Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
DOI10.1080/07474930903382125zbMATH Open1205.91138OpenAlexW2116746639MaRDI QIDQ3557574FDOQ3557574
Authors: Christian Gengenbach, Franz C. Palm, Jean-Pierre Urbain 
Publication date: 23 April 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930903382125
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
- Determining the Number of Factors in Approximate Factor Models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Testing for unit roots in heterogeneous panels.
- Unit root tests in panel data: asymptotic and finite-sample properties
- Testing for a unit root in panels with dynamic factors
- TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
- A PANIC attack on unit roots and cointegration.
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
- Panel unit root tests under cross section dependence with recursive mean adjustment
- Some cautions on the use of panel methods for integrated series of macroeconomic data
Cited In (25)
- A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
- Panel unit root tests with cross-section dependence: a further investigation
- Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
- The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(\(p\)) errors
- The power of PANIC
- Testing economic convergence in non-stationary panel
- An intersection test for panel unit roots
- A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model
- Panel cointegration with global stochastic trends
- Testing for Common Trends in Nonstationary Large Datasets
- Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
- TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
- Comparison of panel unit root tests under cross sectional dependence
- A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
- The local power of the CADF and CIPS panel unit root tests
- Cross-sectional dependence robust block bootstrap panel unit root tests
- The factor analytical approach in near unit root interactive effects panels
- Panel stationary tests against changes in persistence
- Panel unit root tests in the presence of a multifactor error structure
- Panel unit root tests under cross-sectional dependence: an overview
- Double unit root tests for cross-sectionally dependent panel data
- Unit root tests for cross-sectionally dependent panels: the influence of observed factors
- Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
- Panel Cointegration Rank Testing with Cross-Section Dependence
- Likelihood ratio tests for a unit root in panels with random effects
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