A robust sign test for panel unit roots under cross sectional dependence

DOI10.1016/j.csda.2008.11.020zbMath1452.62679MaRDI QIDQ961277

Dong Wan Shin, Man-Suk Oh, Soo Jung Park

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.11.020

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

62F05: Asymptotic properties of parametric tests

Related Items

Robust panel unit root tests for cross-sectionally dependent multiple time series

Cites Work

• Unnamed Item
• Unnamed Item
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Distribution theory for unit root tests with conditional heteroskedasticity
• Testing panel data regression models with spatial error correlation.
• Testing for unit roots in heterogeneous panels.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• A sign test for unit roots in a seasonal MTAR model
• Bootstrap unit root tests in panels with cross-sectional dependency
• 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
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
• Inferential Theory for Factor Models of Large Dimensions
• An invariant sign test for random walks based on recursive median adjustment