A simple panel stationarity test in the presence of serial correlation and a common factor
- 30 April 2012
- journal article
- research article
- Published by Elsevier BV in Economics Letters
- Vol. 115 (1), 31-34
- https://doi.org/10.1016/j.econlet.2011.11.036
Abstract
No abstract availableKeywords
This publication has 13 references indexed in Scilit:
- Reducing the size distortion of the KPSS testJournal of Time Series Analysis, 2010
- A simple panel unit root test in the presence of cross‐section dependenceJournal of Applied Econometrics, 2007
- Mean group tests for stationarity in heterogeneous panelsThe Econometrics Journal, 2006
- Prewhitening Bias in HAC Estimation*Oxford Bulletin of Economics and Statistics, 2005
- Testing for stationarity in heterogeneous panel data where the time dimension is finiteThe Econometrics Journal, 2005
- A PANIC Attack on Unit Roots and CointegrationEconometrica, 2004
- AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTSEconometric Theory, 1998
- Statistical inference in vector autoregressions with possibly integrated processesJournal of Econometrics, 1995
- Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some ApplicationsEconometric Theory, 1993
- Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?Journal of Econometrics, 1992