A generalized nonlinear IV unit root test for panel data with cross-sectional dependence

DOI10.1016/J.JECONOM.2009.10.034MaRDI QIDQ530977zbMATH OpenOpenAlexFDO

Authors Shaoping Wang, Jisheng Yang, Zinai Li, Peng Wang

Publication date 1 August 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2009.10.034

zbMATH Keywords

principal componentscross-sectional dependencepanel unit root testnonlinear instruments

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

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• Cross-sectional dependence robust block bootstrap panel unit root tests

Cites work

• A PANIC attack on unit roots and cointegration.
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Determining the Number of Factors in Approximate Factor Models
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Efficient Tests for an Autoregressive Unit Root
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Inferential Theory for Factor Models of Large Dimensions
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Panel unit root tests under cross‐sectional dependence
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(6)

• Asymptotic normal tests for integration in panels with cross-dependent units
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
• Nonlinear IV panel unit root testing under structural breaks in the error variance

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