The Asymptotic Distribution of the CADF Unit Root Test in the Presence of Heterogeneous AR(p) Errors
(2016) In Statistical Papers 57(2). p.303-317- Abstract
- The CADF test of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section
Dependence, Journal of Applied Econometrics 22, 265–312, 2007) are among the most popular
univariate tests for cross-section correlated panels around. Yet, the existing asymptotic
analysis of this test statistic is limited to a model in which the errors are assumed to
follow a simple AR(1) structure with homogenous autoregressive coefficients. One reason
for this is that the model involves an intricate identification issue, as both the serial
and cross-section correlation structures of the errors are unobserved. The purpose of the
current paper is to tackle this issue and in so doing extend the... (More) - The CADF test of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section
Dependence, Journal of Applied Econometrics 22, 265–312, 2007) are among the most popular
univariate tests for cross-section correlated panels around. Yet, the existing asymptotic
analysis of this test statistic is limited to a model in which the errors are assumed to
follow a simple AR(1) structure with homogenous autoregressive coefficients. One reason
for this is that the model involves an intricate identification issue, as both the serial
and cross-section correlation structures of the errors are unobserved. The purpose of the
current paper is to tackle this issue and in so doing extend the existing analysis to the
case of AR(p) errors with possibly heterogeneous coefficients. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/5257199
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2016
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Unit root test, error serial correlation, common factor, cross-section augmentation.
- in
- Statistical Papers
- volume
- 57
- issue
- 2
- pages
- 303 - 317
- publisher
- Springer
- external identifiers
-
- scopus:84919341537
- wos:000373691700002
- ISSN
- 1613-9798
- DOI
- 10.1007/s00362-014-0655-x
- language
- English
- LU publication?
- yes
- id
- 6c75b589-9d5e-40f0-8d1f-db157cdc4c28 (old id 5257199)
- date added to LUP
- 2016-04-01 10:08:13
- date last changed
- 2022-01-25 20:03:02
@article{6c75b589-9d5e-40f0-8d1f-db157cdc4c28,
abstract = {{The CADF test of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section<br/><br>
Dependence, Journal of Applied Econometrics 22, 265–312, 2007) are among the most popular<br/><br>
univariate tests for cross-section correlated panels around. Yet, the existing asymptotic<br/><br>
analysis of this test statistic is limited to a model in which the errors are assumed to<br/><br>
follow a simple AR(1) structure with homogenous autoregressive coefficients. One reason<br/><br>
for this is that the model involves an intricate identification issue, as both the serial<br/><br>
and cross-section correlation structures of the errors are unobserved. The purpose of the<br/><br>
current paper is to tackle this issue and in so doing extend the existing analysis to the<br/><br>
case of AR(p) errors with possibly heterogeneous coefficients.}},
author = {{Westerlund, Joakim}},
issn = {{1613-9798}},
keywords = {{Unit root test; error serial correlation; common factor; cross-section augmentation.}},
language = {{eng}},
number = {{2}},
pages = {{303--317}},
publisher = {{Springer}},
series = {{Statistical Papers}},
title = {{The Asymptotic Distribution of the CADF Unit Root Test in the Presence of Heterogeneous AR(p) Errors}},
url = {{http://dx.doi.org/10.1007/s00362-014-0655-x}},
doi = {{10.1007/s00362-014-0655-x}},
volume = {{57}},
year = {{2016}},
}