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

DOI10.1007/S00362-013-0502-5zbMATH Open1416.62462OpenAlexW2084574770MaRDI QIDQ379930FDOQ379930

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

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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)

Cites Work

• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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• Title not available (Why is that?)
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• On the Dickey-Fuller test with white standard errors
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• IV-based cointegration testing in dependent panels with time-varying variance

Cited In (6)

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

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