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The Asymptotic Distribution of the CADF Unit Root Test in the Presence of Heterogeneous AR(p) Errors

Westerlund, Joakim LU (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:
author
organization
publishing date
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
2015-03-31 15:32:25
date last changed
2017-01-01 03:18:42
@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},
  keyword      = {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},
  volume       = {57},
  year         = {2016},
}