An IV Test for a Unit Root in Generally Trending and Correlated Panels
(2016) In Oxford Bulletin of Economics and Statistics 78(5). p.752-764- Abstract
This paper proposes an IV-based panel unit root test that is general enough to accommodate general error serial and cross-section dependence, and a potentially nonlinear deterministic trend function. These allowances make the new test one of the most general around. It is also very simple to implement. Indeed, the IV statistic is asymptotically invariant to not only to all nuisance parameters characterizing the dependence of the errors and the true trend function, but also the deterministic specification of the fitted test regression.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/256f00bc-ba9a-4985-9e79-5d653f977b86
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2016-10-01
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 78
- issue
- 5
- pages
- 13 pages
- publisher
- Wiley-Blackwell
- external identifiers
-
- scopus:84985952146
- wos:000387342300007
- ISSN
- 0305-9049
- DOI
- 10.1111/obes.12141
- language
- English
- LU publication?
- yes
- id
- 256f00bc-ba9a-4985-9e79-5d653f977b86
- date added to LUP
- 2016-10-17 11:09:46
- date last changed
- 2024-06-28 17:07:50
@article{256f00bc-ba9a-4985-9e79-5d653f977b86, abstract = {{<p>This paper proposes an IV-based panel unit root test that is general enough to accommodate general error serial and cross-section dependence, and a potentially nonlinear deterministic trend function. These allowances make the new test one of the most general around. It is also very simple to implement. Indeed, the IV statistic is asymptotically invariant to not only to all nuisance parameters characterizing the dependence of the errors and the true trend function, but also the deterministic specification of the fitted test regression.</p>}}, author = {{Westerlund, Joakim}}, issn = {{0305-9049}}, language = {{eng}}, month = {{10}}, number = {{5}}, pages = {{752--764}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{An IV Test for a Unit Root in Generally Trending and Correlated Panels}}, url = {{http://dx.doi.org/10.1111/obes.12141}}, doi = {{10.1111/obes.12141}}, volume = {{78}}, year = {{2016}}, }