An intersection test for panel unit roots

DOI10.1080/07474938.2011.608058MaRDI QIDQ5080544zbMATH OpenOpenAlexFDO

Authors Christoph Hanck

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/25874

zbMATH Keywords

cross-sectional dependencemultiple testingpanel unit root test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Testing for panel unit roots under general cross-sectional dependence
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Cites work

• A Note on Combining Dependent Tests of Significance
• A PANIC attack on unit roots and cointegration.
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• An improved Bonferroni procedure for multiple tests of significance
• Asymptotic Optimality of Fisher's Method of Combining Independent Tests
• Bootstrap unit root tests in panels with cross-sectional dependency
• Determining the Number of Factors in Approximate Factor Models
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Efficient Tests for an Autoregressive Unit Root
• FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
• Multiple hypothesis testing in microarray experiments.
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Panel unit root tests under cross‐sectional dependence
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Some probability inequalities for ordered MTP₂ random variables: a proof of the Simes conjecture
• Stepwise Multiple Testing as Formalized Data Snooping
• Testing for a unit root in panels with dynamic factors
• Testing for a unit root in time series regression
• Testing for unit roots in heterogeneous panels.
• The econometrics of panel data. Fundamental and recent developments in theory and practice.
• The error-in-rejection probability of meta-analytic panel tests
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(12)

• Performance of unit root tests in unbalanced panels: experimental evidence
• Nonstationary-volatility robust panel unit root tests and the great moderation
• Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
• Detection of units with pervasive effects in large panel data models
• A Panel Unit Root Test with Good Power in Small Samples
• Nonparametric panel stationarity testing with an application to crude oil production
• Intersection tests for the cointegrating rank in dependent panel data
• Taking a new contour: a novel approach to panel unit root tests
• Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
• Panel unit root tests by combining dependent P values: a comparative study
• A comparative study on p  value combination tests for unit roots in multiple time series
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence

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