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

DOI10.1016/J.ECONLET.2011.11.036MaRDI QIDQ433709zbMATH OpenOpenAlexFDO

Authors 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

stationaritypanel datacross-sectional dependencecommon factorKPSS test

Mathematics Subject Classification ID

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

Recommendations

• Mean group tests for stationarity in heterogeneous panels
• Testing for stationarity in heterogeneous panel data
• Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
• TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
• Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors

Cites work

• A PANIC attack on unit roots and cointegration.
• A new look at panel testing of stationarity and the PPP hypothesis
• A simple test for parameter constancy in a nonlinear time series regression model
• Mean group tests for stationarity in heterogeneous panels
• Reducing the size distortion of the KPSS test
• Statistical inference in vector autoregressions with possibly integrated processes
• Testing for stationarity in heterogeneous panel data
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• 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?
• The econometrics of panel data. Fundamental and recent developments in theory and practice.

Cited in

(4)

• Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
• Mean group tests for stationarity in heterogeneous panels
• Inference on factor structures in heterogeneous panels
• Testing for stationarity in heterogeneous panel data

This page was built for publication: A simple panel stationarity test in the presence of serial correlation and a common factor

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433709)