Generalized fixed-T panel unit root tests

Research output: Contribution to journalArticlepeer-review

Authors

Colleges, School and Institutes

Abstract

Panel data unit root tests which can be applied to data that do not have many time series observations are based on very restrictive error and deterministic component specification assumptions. In this paper we develop a new, doubly modified estimator, based on which we propose a panel unit root test that allows for multiple structural breaks, linear and non-linear trends, heteroscedasticity, serial correlation and error cross section heterogeneity, when the number of time series observations is finite. The test has the additional perk that it is invariant to the initial condition.

Details

Original languageEnglish
Pages (from-to)1227-1251
Number of pages25
JournalScandinavian Journal of Statistics
Volume46
Issue number4
Publication statusPublished - Dec 2019

Keywords

  • fixed T, nonlinear trends, panel data, serial correlation, structural breaks, unit root