Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel

DOI10.1016/j.jeconom.2012.01.008zbMath1443.62231OpenAlexW3121144734MaRDI QIDQ527968

Benoit Perron, Hyungsik Roger Moon

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cirano.qc.ca/files/publications/2011s-17.pdf

zbMATH Keywords

bootstrappanel dataunit root testsmultiple testingfalse discovery rate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Paired and multiple comparisons; multiple testing (62J15)

Related Items

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, Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel, Robust block bootstrap panel predictability tests, Nonparametric rank tests for non-stationary panels

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