PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION

DOI10.1017/S0266466609990478zbMath1294.62187MaRDI QIDQ3580635

Serena Ng, Jushan Bai

Publication date: 13 August 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• PANICr

Cites Work

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• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
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• Testing for a unit root in time series regression
• Dynamic panel estimation and homogeneity testing under cross section dependence
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• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models