Generalized fixed-T panel unit root tests
Research output: Contribution to journal › Article › peer-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 language | English |
|---|---|
| Pages (from-to) | 1227-1251 |
| Number of pages | 25 |
| Journal | Scandinavian Journal of Statistics |
| Volume | 46 |
| Issue number | 4 |
| Publication status | Published - Dec 2019 |
Keywords
- fixed T, nonlinear trends, panel data, serial correlation, structural breaks, unit root