Mean group tests for stationarity in heterogeneous panels

DOI10.1111/j.1368-423X.2006.00179.xzbMath1088.62106MaRDI QIDQ5469922

Yongcheol Shin, Andy Snell

Publication date: 26 May 2006

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

zbMATH Keywords

Monte Carlo simulation; stationarity; unit roots; heterogeneous panels; finite sample adjustment; joint asymptotic theory; mean group tests

Mathematics Subject Classification ID

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

62F03: Parametric hypothesis testing

65C05: Monte Carlo methods

62L10: Sequential statistical analysis

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