Testing for a unit root in a random coefficient panel data model
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Publication:738151
DOI10.1016/J.JECONOM.2011.11.009zbMATH Open1441.62902OpenAlexW2165996534MaRDI QIDQ738151FDOQ738151
Authors: 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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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
- A PANIC attack on unit roots and cointegration.
- 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 (28)
- 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
- Extensions of some classical methods in change point analysis
- Testing for unit root processes in random coefficient autoregressive models
- A fixed-\(T\) version of Breitung's panel data unit root test
- Optimal tests against the alternative hypothesis of panel unit roots
- The effect of recursive detrending on panel unit root tests
- New tools for understanding the local asymptotic power of panel unit root tests
- Unit root tests for panel MTAR model with cross-sectionally dependent error
- Pooled panel unit root tests and the effect of past initialization
- On the Use of GLS Demeaning in Panel Unit Root Testing
- Bayesian unit root tests in panel data by using MCMC algorithm
- Nonparametric rank tests for non-stationary panels
- The local power of the CADF and CIPS panel unit root tests
- Testing for unit roots in panel data: an exploration using real and simulated data
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- Darling-Erdős limit results for change-point detection in panel data
- Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
- Unit root test for short panels with serially correlated errors
- Quantile unit root inference for panel data with common shocks
- Optimal panel unit root testing with covariates
- A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
- Likelihood ratio tests for a unit root in panels with random effects
- Taking a new contour: a novel approach to panel unit root tests
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