Testing for stationarity in heterogeneous panel data where the time dimension is finite

DOI10.1111/j.1368-423X.2005.00151.xzbMath1076.62117MaRDI QIDQ5706718

Kaddour Hadri, Rolf Larsson

Publication date: 21 November 2005

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

zbMATH Keywords

central limit theorem; unit root tests; stationarity tests; heterogeneous panel data; moments of two ratios of dependent quadratic forms

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

65C05: Monte Carlo methods

Related Items

Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost, Likelihood ratio tests for a unit root in panels with random effects, The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study, A simple test for nonstationarity in mixed panels: a further investigation, A simple panel stationarity test in the presence of serial correlation and a common factor, The accuracy of normal approximation in a heterogeneous panel data unit root test, Unit root tests for panel data with AR(1) errors and small T, Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application, TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION, PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION

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