A simple panel stationarity test in the presence of serial correlation and a common factor

DOI10.1016/j.econlet.2011.11.036zbMath1242.91168OpenAlexW2043154154MaRDI QIDQ433709

Kaddour Hadri, Eiji Kurozumi

Publication date: 6 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.11.036

zbMATH Keywords

panel datastationaritycross-sectional dependencecommon factorKPSS test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• A simple test for parameter constancy in a nonlinear time series regression model
• Statistical inference in vector autoregressions with possibly integrated processes
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• Testing for stationarity in heterogeneous panel data
• Reducing the size distortion of the KPSS test
• Mean group tests for stationarity in heterogeneous panels
• Testing for stationarity in heterogeneous panel data where the time dimension is finite

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