A fixed-T version of Breitung's panel data unit root test

DOI10.1016/J.ECONLET.2014.04.029MaRDI QIDQ741322zbMATH OpenOpenAlexFDO

Authors Yiannis Karavias, Elias Tzavalis

Publication date 11 September 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.04.029

zbMATH Keywords

serial correlationincidental trendspanel unit rootlocal power function

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Generalized fixed-\(\mathrm{T}\) panel unit root tests
• Panel data unit root test with fixed time dimension
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for unit roots in panel data: an exploration using real and simulated data
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• Optimal tests against the alternative hypothesis of panel unit roots
• Testing for a unit root in a random coefficient panel data model

Cites work

• Incidental trends and the power of panel unit root tests
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Nonstationary panels, panel cointegration, and dynamic panels
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
• Unit root tests for panel data with AR(1) errors and small T

Cited in

(11)

• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• The error-in-rejection probability of meta-analytic panel tests
• Local power of fixed-\(T\) panel unit root tests with serially correlated errors and incidental trends
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
• Panel data unit roots tests: the role of serial correlation and the time dimension
• Local power of panel unit root tests allowing for structural breaks
• Panel data unit root test with fixed time dimension
• Cumulative sum estimator for change-point in panel data
• Generalized fixed-\(\mathrm{T}\) panel unit root tests
• Point-optimal panel unit root tests with serially correlated errors

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