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Optimal panel unit root testing with covariates

Published:2018-12-22 Issue:1 Volume:22 Page:57-72
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:

Author:

Juodis Artūras¹,Westerlund Joakim²³

Affiliation:

1. Faculty of Economics and Business, University of Groningen, Nettelbosje 2, 9747 AE Groningen, The Netherlands

2. Department of Economics, Lund University, Box 7082, 220 07 Lund, Sweden

3. Centre for Financial Econometrics, Deakin Business School, Deakin University, 221 Burwood Highway Burwood, Victoria 3125, Australia

Funder

Knut and Alice Wallenberg Foundation

Jan Wallander and Tom Hedelius Foundation

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

http://academic.oup.com/ectj/article-pdf/22/1/57/28792403/ectj12118.pdf

Reference26 articles.

1. Testing for purchasing power parity using stationary covariates;Amara;Applied Financial Economics,2006

2. A PANIC attack on unit roots and cointegration;Bai;Econometrica,2004

3. Asymptotically UMP panel unit root tests – the effect of heterogeneity in the alternatives;Becheri;Econometric Theory,2015

4. Unit root tests for cross-sectionally dependent panels: The influence of observed factors;Becheri;Journal of Statistical Planning and Inference,2015

5. The power envelope of panel unit root tests in case stationary alternatives offset explosive ones;Becheri;Statistics and Probability Letters,2016

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1. Testing for Granger causality in heterogeneous panels with cross-sectional dependence;Empirical Economics;2024-05-23

2. ASYMPTOTICALLY UNIFORMLY MOST POWERFUL TESTS FOR UNIT ROOTS IN GAUSSIAN PANELS WITH CROSS-SECTIONAL DEPENDENCE GENERATED BY COMMON FACTORS;Econometric Theory;2024-04-29

3. New results on asymptotic properties of likelihood estimators with persistent data for small and large T;SERIEs;2023-08-03

4. Hybrid Rank-Based Panel Unit Root Tests;SSRN Electronic Journal;2023

5. A regularization approach to common correlated effects estimation;Journal of Applied Econometrics;2022-04-04

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