Unit root test for short panels with serially correlated errors

DOI10.1080/03610926.2015.1076471zbMATH Open1422.62205OpenAlexW3124758105MaRDI QIDQ4976264FDOQ4976264

Authors: Kazuhiko Hayakawa 

Publication date: 27 July 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1076471

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zbMATH Keywords

panel datageneralized method of momentsinstrumental variablesunit root testGMMARMA structure

Mathematics Subject Classification ID

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

Cites Work

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• Microeconometrics
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• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• LASSO-TYPE GMM ESTIMATOR
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Testing for a unit root in the presence of moving average errors
• Unit Root Tests Based on Instrumental Variables Estimation
• Panel data unit roots tests: the role of serial correlation and the time dimension

Cited In (3)

• Testing for unit roots in short panels allowing for a structural break
• Panel data unit roots tests: the role of serial correlation and the time dimension
• Point-optimal panel unit root tests with serially correlated errors

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