Heteroskedasticity Robust Panel Unit Root Tests
(2014) In Journal of Business & Economic Statistics 32(1). p.112-135- Abstract
- This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroskedastic. 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588877
- author
- Westerlund, Joakim LU
- publishing date
- 2014
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Unit root test, Panel data, Unconditional heteroskedasticity, GARCH, Crosssection dependence, Common factors
- in
- Journal of Business & Economic Statistics
- volume
- 32
- issue
- 1
- pages
- 112 - 135
- publisher
- American Statistical Association
- external identifiers
-
- scopus:84901758066
- ISSN
- 0735-0015
- DOI
- 10.1080/07350015.2013.857612
- language
- English
- LU publication?
- no
- id
- 57db1d58-b43e-44ea-8363-6a95611a9525 (old id 4588877)
- alternative location
- http://www.tandfonline.com/doi/abs/10.1080/07350015.2013.857612
- date added to LUP
- 2016-04-01 11:12:35
- date last changed
- 2022-04-28 08:06:38
@article{57db1d58-b43e-44ea-8363-6a95611a9525,
abstract = {{This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroskedastic. Despite their<br/><br>
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<br/><br>
suggest that the new tests perform well in small samples, also when compared to some of the existing tests.}},
author = {{Westerlund, Joakim}},
issn = {{0735-0015}},
keywords = {{Unit root test; Panel data; Unconditional heteroskedasticity; GARCH; Crosssection dependence; Common factors}},
language = {{eng}},
number = {{1}},
pages = {{112--135}},
publisher = {{American Statistical Association}},
series = {{Journal of Business & Economic Statistics}},
title = {{Heteroskedasticity Robust Panel Unit Root Tests}},
url = {{http://dx.doi.org/10.1080/07350015.2013.857612}},
doi = {{10.1080/07350015.2013.857612}},
volume = {{32}},
year = {{2014}},
}