Heteroscedasticity Robust Panel Unit Root Tests
- 2 January 2014
- journal article
- Published by Taylor & Francis Ltd in Journal of Business & Economic Statistics
- Vol. 32 (1), 112-135
- https://doi.org/10.1080/07350015.2013.857612
Abstract
This article proposes new unit root tests for panels where the errors may be not only serial and/or crosscorrelated,but also unconditionally heteroscedastic. Despite their generality, the test statistics are shown tobe very simple to implement, requiring only minimal corrections and still the limiting distributions underthe null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also providedto suggest that the new tests perform well in small samples, also when compared to some of the existingtests. Supplementary materials for this article are available onlineKeywords
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