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Heteroskedasticity Robust Panel Unit Root Tests

Westerlund, Joakim LU (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:
author
publishing date
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
2014-08-20 12:43:00
date last changed
2017-05-07 03:24:26
@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},
  keyword      = {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},
  volume       = {32},
  year         = {2014},
}