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The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors

Westerlund, Joakim 2016, The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors, Statistical papers, vol. 57, no. 2, pp. 303-317, doi: 10.1007/s00362-014-0655-x.

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Title The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors
Author(s) Westerlund, Joakim
Journal name Statistical papers
Volume number 57
Issue number 2
Start page 303
End page 317
Total pages 15
Publisher Springer
Place of publication Berlin, Germany
Publication date 2016-04
ISSN 0932-5026
Keyword(s) Common factor
Cross-section augmentation
Error serial correlation
Unit root test
Summary The CADF test of Pesaran (J Appl Econ 22:265–312, 2007) are among the most popular univariate tests for cross-section correlated panels around. Yet, the existing asymptotic analysis of this test statistic is limited to a model in which the errors are assumed to follow a simple AR(1) structure with homogenous autoregressive coefficients. One reason for this is that the model involves an intricate identification issue, as both the serial and cross-section correlation structures of the errors are unobserved. The purpose of the current paper is to tackle this issue and in so doing extend the existing analysis to the case of AR((Formula presented.)) errors with possibly heterogeneous coefficients.
Language eng
DOI 10.1007/s00362-014-0655-x
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Springer
Persistent URL http://hdl.handle.net/10536/DRO/DU:30077707

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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