Testing for a unit root in a random coefficient panel data model

DOI10.1016/J.JECONOM.2011.11.009zbMATH Open1441.62902OpenAlexW2165996534MaRDI QIDQ738151FDOQ738151

Joakim Westerlund, Rolf Larsson

Publication date: 15 August 2016

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

Full work available at URL: http://hdl.handle.net/2077/21170

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zbMATH Keywords

panel unit root testlocal asymptotic powerrandom coefficient autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Inferential Theory for Factor Models of Large Dimensions
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for a unit root in panels with dynamic factors
• Incidental trends and the power of panel unit root tests
• PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
• Title not available (Why is that?)
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Testing a time series for difference stationarity
• Testing for unit root processes in random coefficient autoregressive models
• Testing joint hypotheses when one of the alternatives is one-sided
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS

Cited In (18)

• A simple test for nonstationarity in mixed panels: a further investigation
• Unit root tests in panel data: asymptotic and finite-sample properties
• Model specification in panel data unit root tests with an unknown break
• Statistical inference in a random coefficient panel model
• The power of PANIC
• A simple test for nonstationarity in mixed panels with incidental trends
• Pooled Panel Unit Root Tests and the Effect of Past Initialization
• Extensions of some classical methods in change point analysis
• The Local Power of the CADF and CIPS Panel Unit Root Tests
• ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES
• A fixed-\(T\) version of Breitung's panel data unit root test
• The effect of recursive detrending on panel unit root tests
• New tools for understanding the local asymptotic power of panel unit root tests
• On the Use of GLS Demeaning in Panel Unit Root Testing
• Nonparametric rank tests for non-stationary panels
• Darling-Erdős limit results for change-point detection in panel data
• Optimal panel unit root testing with covariates
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

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