Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Heteroskedasticity Robust Panel Unit Root Tests
Författare
Summary, in English
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.
Publiceringsår
2014
Språk
Engelska
Sidor
112-135
Publikation/Tidskrift/Serie
Journal of Business & Economic Statistics
Volym
32
Issue
1
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
American Statistical Association
Ämne
- Economics
Nyckelord
- Unit root test
- Panel data
- Unconditional heteroskedasticity
- GARCH
- Crosssection dependence
- Common factors
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0735-0015