Reprint of: Testing for unit roots in heterogeneous panels

DOI10.1016/J.JECONOM.2023.03.002MaRDI QIDQ2697964zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 April 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.03.002

zbMATH Keywords

\(t\)-bar statisticsfinite sample propertiesheterogeneous dynamic panelstests of unit roots

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating long-run relationships from dynamic heterogeneous panels
• Exploiting cross-section variation for unit root inference in dynamic data
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 4182622 (Why is no real title available?)
• Nonstationary panels, panel cointegration, and dynamic panels
• Testing for stationarity in heterogeneous panel data
• Testing for unit roots in autoregressive-moving average models of unknown order
• The econometrics of panel data. Handbook of theory and applications.
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(2)

• The effect of recursive detrending on panel unit root tests
• The accuracy of normal approximation in a heterogeneous panel data unit root test

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