Nonlinear IV panel unit root testing under structural breaks in the error variance

DOI10.1007/S00362-013-0502-5MaRDI QIDQ379930zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Christoph Hanck

Publication date 11 November 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-013-0502-5

zbMATH Keywords

heteroskedasticitystructural breaksEicker-White standard errorsnonlinear instrumental variablespanel unit roots

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3346000 (Why is no real title available?)
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Cited in

(6)

• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• Quantifying the data-dredging bias in structural break tests
• Panel stationary tests against changes in persistence
• Block bootstrapping for a panel mean break test
• A general panel break test based on the self-normalization method
• A simple nonstationary-volatility robust panel unit root test

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