Unit root tests for cross-sectionally dependent seasonal panels

被引：1

作者：

Lee, Yonghee ^{[1
]}

Shin, Dong Wan ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea

来源：

ECONOMICS LETTERS | 2006年 / 93卷 / 03期

基金：

新加坡国家研究基金会;

关键词：

instrumental variable estimation; seasonal unit root;

D O I：

10.1016/j.econlet.2006.05.021

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Unit root tests are developed for seasonal panel models with cross-sectionally dependent errors. The tests are based on an instrumental variable estimator and have standard Gaussian null asymptotics. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：311 / 317

页数：7

共 50 条

[1] Unit root tests for cross-sectionally dependent panels: The influence of observed factors
Becheri, I. Gaia
Drost, Feike C.
van den Akker, Ramon
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2015, 160 : 11 - 22
[2] Tests for seasonal unit roots in panels of cross-sectionally correlated time series
Shin, Dong Wan
Oh, Man-Suk
[J]. STATISTICS, 2009, 43 (02) : 139 - 152
[3] Double unit root tests for cross-sectionally dependent panel data
Shin, Dong Wan
Jung, Yoon Young
Oh, Man-Suk
[J]. JOURNAL OF APPLIED STATISTICS, 2008, 35 (11-12) : 1305 - 1321
[4] Unit root tests for panel MTAR model with cross-sectionally dependent error
Dong Wan Shin
Oesook Lee
[J]. Metrika, 2008, 67 : 315 - 326
[5] Unit root tests for panel MTAR model with cross-sectionally dependent error
Shin, Dong Wan
Lee, Oesook
[J]. METRIKA, 2008, 67 (03) : 315 - 326
[6] Panel unit-root tests for cross-sectionally correlated panels: A monte carlo comparison
Gutierrez, Luciano
[J]. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2006, 68 (04) : 519 - 540
[7] Robust panel unit root tests for cross-sectionally dependent multiple time series
Shin, Dong Wan
Park, Sangun
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2010, 54 (11) : 2801 - 2813
[8] Nowcasting from cross-sectionally dependent panels
Fosten, Jack
Nandi, Shaoni
[J]. JOURNAL OF APPLIED ECONOMETRICS, 2023, 38 (06) : 898 - 919
[9] SYNERGY BETWEEN AN IMPROVED COVARIATE UNIT ROOT TEST AND CROSS-SECTIONALLY DEPENDENT PANEL DATA UNIT ROOT TESTS
Hadri, Kaddour
Kurozumi, Eiji
Yamazaki, Daisuke
[J]. MANCHESTER SCHOOL, 2015, 83 (06): : 676 - 700
[10] Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors
Tolga Omay
Mübariz Hasanov
Yongcheol Shin
[J]. Computational Economics, 2018, 52 : 167 - 193

← 1 2 3 4 5 →