Unit root tests for panel MTAR model with cross-sectionally dependent error

DOI10.1007/s00184-007-0135-6zbMath1433.62035OpenAlexW1973482732MaRDI QIDQ745497

Oesook Lee, Dong Wan Shin

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-007-0135-6

zbMATH Keywords

unit root testGaussian asymptoticsinstrumental variable estimation

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Unnamed Item
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
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• Tests for asymmetry in possibly nonstationary dynamic panel models
• Testing for a unit root in panels with dynamic factors
• recursive Mean Adjustment for Unit Root Tests
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Threshold Autoregression with a Unit Root
• A note on stationarity of the MTAR process on the boundary of the stationarity region

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