Results 271 to 280 of about 3,959,626 (304)

TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE

Econometric Theory, 2007
Summary: This paper considers various tests of the unit root hypothesis in panels where the cross-section dependence is due to common dynamic factors. Three situations are studied. First, the common factors and idiosyncratic components may both be nonstationary.
Breitung, Jörg, Das, Samarjit
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Reprint of: Testing for unit roots in heterogeneous panels

Journal of Econometrics, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Im, Kyung So, Pesaran, M. Hashem, Shin, Yongcheol   +2 more
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Stationary bootstrapping for semiparametric panel unit root tests

Computational Statistics & Data Analysis, 2015
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Eunju Hwang, Dong Wan Shin
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Asymptotically UMP Panel Unit Root Tests - The Effect of Heterogeneity in the Alternatives

SSRN Electronic Journal, 2013
In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007, Journal of Econometrics 141, 416–459) present an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests.
Becheri, I.G., Drost, F.C., van den Akker, R.   +2 more
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Panel Unit Root Test

2019
Panel data with long time period have been used predominately in applied macroeconomic research like purchasing power parity, growth convergence, business cycle synchronisation and so on. In this chapter provides some theoretical issues and their application in testing for unit roots in panel data where the time dimension (T), and the cross section ...
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On the interpretation of panel unit root tests

Economics Letters, 2012
Abstract Applications of panel unit root tests have become commonplace in empirical economics, yet there are ambiguities as how best to interpret the test results. This note clarifies that rejection of the panel unit root hypothesis should be interpreted as evidence that a statistically significant proportion of the units are stationary. Accordingly,
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Unit root tests for panel data

Journal of International Money and Finance, 2001
Abstract This paper develops unit root tests for panel data. These tests are devised under more general assumptions than the tests previously proposed. First, the number of groups in the panel data is assumed to be either finite or infinite. Second, each group is assumed to have different types of nonstochastic and stochastic components.
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Testing for unit root in nonlinear heterogeneous panels

Economics Letters, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ucar, Nuri, Omay, Tolga
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Testing for unit roots in nonlinear dynamic heterogeneous panels [PDF]

, 2005
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections.
He, Changli, Sandberg, Rickard
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Panel Methods to Test for Unit Roots and Cointegration

2009
We provide an up-to-date analytical survey of methods which have been developed to deal with estimation and inference in non-stationary panels. The chapter provides information not only on the tools but also interprets the literature and highlights the important challenges that remain.
Anindya Banerjee, Martin Wagner
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