Recursive mean adjustment for panel unit root tests

DOI10.1016/J.ECONLET.2004.03.014MaRDI QIDQ1927573zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Man-Suk Oh, Seungho Kang

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2004.03.014

zbMATH Keywords

bias

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A time series illustration of approximate conditional likelihood
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Exploiting cross-section variation for unit root inference in dynamic data
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Recursive mean adjustment and tests for nonstationarities
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• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.

Cited in

(10)

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• Comparison of panel unit root tests under cross sectional dependence
• The effect of recursive detrending on panel unit root tests
• Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
• Backward mean transformation in unit root panel data models
• Recursive mean adjustment for unit root tests
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Finite-sample distribution of a recursively mean-adjusted panel data unit root test
• scientific article; zbMATH DE number 5238871 (Why is no real title available?)
• Recursive mean adjustment and tests for nonstationarities

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