Heteroscedasticity robust panel unit root tests

Westerlund, Joakim 2014, Heteroscedasticity robust panel unit root tests, Journal of business & economic statistics, vol. 32, no. 1, pp. 112-135, doi: 10.1080/07350015.2013.857612.

Attached Files
Name Description MIMEType Size Downloads

Title Heteroscedasticity robust panel unit root tests
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Journal of business & economic statistics
Volume number 32
Issue number 1
Start page 112
End page 135
Total pages 24
Publisher Taylor and Francis
Place of publication Abingdon, Eng.
Publication date 2014
ISSN 0735-0015
1537-2707
Summary 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 online.
Language eng
DOI 10.1080/07350015.2013.857612
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, American Statistical Association
Persistent URL http://hdl.handle.net/10536/DRO/DU:30072146

Connect to link resolver
 
Link to Related Work
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 14 times in TR Web of Science
Scopus Citation Count Cited 15 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 315 Abstract Views, 14 File Downloads  -  Detailed Statistics
Created: Wed, 06 May 2015, 09:49:04 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.