TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE

DOI10.1017/S0266466608080067zbMath1280.62096MaRDI QIDQ3632373

Samarjit Das, Jörg Breitung

Publication date: 11 June 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608080067

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

Related Items

Lessons from a Decade of IPS and LLC, Heteroskedasticity‐Robust Unit Root Testing for Trending Panels, Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions, Forward detrending for heteroskedasticity-robust panel unit root testing, Cross-sectional dependence robust block bootstrap panel unit root tests, Panel cointegration with global stochastic trends, A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors, Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling, PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION

Cites Work

• Unnamed Item
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing For Unit Roots: 1
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Forecasting Using Principal Components From a Large Number of Predictors
• Linear Regression Limit Theory for Nonstationary Panel Data
• Panel unit root tests under cross‐sectional dependence
• Determining the Number of Factors in Approximate Factor Models
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias