Heteroscedasticity Robust Panel Unit Root Tests
Bibliographic Data
| ID | 19420144 |
|---|---|
| Authors | Joakim Westerlund (0000-0002-2461-351X, Deakin University, corresponding author) |
| Year | 2014 |
| Volume | 32 |
| Issue | 1 |
| Pages | 112-135 |
| Publication date | 2014-01-02 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2013.857612 |
| OpenAlex | W2039273004 |
| Language | EN |
| Citations received | 1 |
| References cited | 32 |
This article proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroscedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the limiting distributions under the null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also provided to suggest that the new tests perform well in small samples, also when compared to some of the existing tests.
Econometrics · Estimator · Heteroscedasticity · Iterated function · Monte Carlo method · Nuisance parameter · Ordinary least squares · Statistic · Statistical hypothesis testing · Statistics · Test statistic · Unit root · Computer Science · Economic Growth and Productivity · Mathematics · Monetary Policy and Economic Impact · Spatial and Panel Data Analysis
Linear Regression Limit Theory for Nonstationary Panel Data
Estimating and Testing Linear Models with Multiple Structural Changes
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
Output Fluctuations in the United States
A Panic Attack on Unit Roots and Cointegration
Unit Root Tests in Arma Models with Data-Dependent Methods for the Selection of the Truncation Lag
Determining the Number of Factors in Approximate Factor Models
Inferential Theory for Factor Models of Large Dimensions
A simple panel unit root test in the presence of cross‐section dependence
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator
Variance Shifts, Structural Breaks, and Stationarity Tests
Testing for Volatility Changes in U.S. Macroeconomic Time Series
Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle
| Citations per year | 0.07 |
|---|---|
| Citation span | 2012 - 2012 (1) |
| Highly cited | No |