A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
From MaRDI portal
Publication:6042900
DOI10.1017/s0266466622000044OpenAlexW4220909392MaRDI QIDQ6042900
Unnamed Author, Yohei Yamamoto
Publication date: 4 May 2023
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466622000044
Related Items
Cites Work
- Unnamed Item
- Limit theory for moderate deviations from a unit root
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- Testing for factor loading structural change under common breaks
- Testing for structural breaks in dynamic factor models
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- The power of PANIC
- Unit root tests for cross-sectionally dependent panels: the influence of observed factors
- Estimating cross-section common stochastic trends in nonstationary panel data
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Dating the timeline of financial bubbles during the subprime crisis
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for Common Trends
- Forecasting Using Principal Components From a Large Number of Predictors
- Efficient Tests for an Autoregressive Unit Root
- Inferential Theory for Factor Models of Large Dimensions
- Tests for Unit Roots and the Initial Condition
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests