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Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests

  • Published:2014-08-08 Issue:6 Volume:83 Page:676-700
  • ISSN:1463-6786
  • Container-title:The Manchester School
  • language:en
  • Short-container-title:The Manchester School

Author:

Hadri Kaddour1,Kurozumi Eiji2,Yamazaki Daisuke2

Affiliation:

1. Queen's University Management School; Queen's University Belfast

2. Hitotsubashi University

Funder

JSPS

BA

Seimei Foundation

Ministry of Education, Culture, Sports, Science and Technology

Research Unit for Statistical and Empirical Analysis in Social Sciences, Hitotsubashi University

Publisher

Wiley

Subject

Economics and Econometrics

Reference56 articles.

1. Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models;Ahlgren;Journal of Time Series Analysis,2008

2. Testing for Purchasing Power Parity Using Stationary Covariates;Amara;Applied Financial Economics,2006

3. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation;Andrews;Econometrica: Journal of the Econometric Society,1991

4. Breaking the Prebish Singer Hypothesis Using Panel Data Stationarity Tests;Arezki;Economics Letters,2012

5. Inferential Theory for Factor Models of Large Dimensions;Bai;Econometrica: Journal of the Econometric Society,2003

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