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An IV Test for a Unit Root in Generally Trending and Correlated Panels

Westerlund, Joakim LU (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.

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author
organization
publishing date
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
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
2016-10-17 11:09:46
@misc{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    = {ARRAY(0xc7e4db8)},
  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},
  volume       = {78},
  year         = {2016},
}