Tests for seasonal unit roots in panels of cross-sectionally correlated time series

DOI10.1080/02331880701600463zbMath1291.62157MaRDI QIDQ5400784

Dong Wan Shin, Man-Suk Oh

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701600463

zbMATH Keywords

instrumental variable estimation; HEGY model; sign instrument

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Related Items

Disentangling the source of non-stationarity in a panel of seasonal data

Cites Work

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• recursive Mean Adjustment for Unit Root Tests
• The Econometric Analysis of Seasonal Time Series
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Testing for Unit Roots in Seasonal Time Series
• Inferential Theory for Factor Models of Large Dimensions