Unit root test for short panels with serially correlated errors

DOI10.1080/03610926.2015.1076471MaRDI QIDQ4976264zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Another look at the instrumental variable estimation of error-components models
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• GMM estimation and inference in dynamic panel data models with persistent data
• Income Variance Dynamics and Heterogeneity
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Initial conditions and moment restrictions in dynamic panel data models
• LASSO-TYPE GMM ESTIMATOR
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• Microeconometrics
• Panel data unit roots tests: the role of serial correlation and the time dimension
• Testing for a unit root in the presence of moving average errors
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Testing for unit roots in heterogeneous panels.
• Unit Root Tests Based on Instrumental Variables Estimation
• Unit root tests in panel data: asymptotic and finite-sample properties

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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