Testing for a unit root in a random coefficient panel data model

DOI10.1016/J.JECONOM.2011.11.009MaRDI QIDQ738151zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund, Rolf Larsson

Publication date 15 August 2016

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

Full work available at URL http://hdl.handle.net/2077/21170

zbMATH Keywords

panel unit root testlocal asymptotic powerrandom coefficient autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A PANIC attack on unit roots and cointegration.
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Incidental trends and the power of panel unit root tests
• Inferential Theory for Factor Models of Large Dimensions
• Linear Regression Limit Theory for Nonstationary Panel Data
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• Panel unit root tests with cross-section dependence: a further investigation
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• Testing a time series for difference stationarity
• Testing for a unit root in panels with dynamic factors
• Testing for unit root processes in random coefficient autoregressive models
• Testing for unit roots in heterogeneous panels.
• Testing joint hypotheses when one of the alternatives is one-sided
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(28)

• A simple test for nonstationarity in mixed panels: a further investigation
• Likelihood ratio tests for a unit root in panels with random effects
• Model specification in panel data unit root tests with an unknown break
• Unit root tests in panel data: asymptotic and finite-sample properties
• Statistical inference in a random coefficient panel model
• The power of PANIC
• A simple test for nonstationarity in mixed panels with incidental trends
• Extensions of some classical methods in change point analysis
• Testing for unit root processes in random coefficient autoregressive models
• A fixed-\(T\) version of Breitung's panel data unit root test
• Optimal tests against the alternative hypothesis of panel unit roots
• Unit root tests for panel MTAR model with cross-sectionally dependent error
• The effect of recursive detrending on panel unit root tests
• New tools for understanding the local asymptotic power of panel unit root tests
• Pooled panel unit root tests and the effect of past initialization
• Bayesian unit root tests in panel data by using MCMC algorithm
• On the Use of GLS Demeaning in Panel Unit Root Testing
• Nonparametric rank tests for non-stationary panels
• The local power of the CADF and CIPS panel unit root tests
• Testing for unit roots in panel data: an exploration using real and simulated data
• Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
• Darling-Erdős limit results for change-point detection in panel data
• Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
• Unit root test for short panels with serially correlated errors
• Quantile unit root inference for panel data with common shocks
• Optimal panel unit root testing with covariates
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
• Taking a new contour: a novel approach to panel unit root tests

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