An IV test for a unit root in generally trending and correlated panels

Westerlund, Joakim 2016, An IV test for a unit root in generally trending and correlated panels, Oxford bulletin of economics and statistics, vol. 78, no. 5, pp. 752-764, doi: 10.1111/obes.12141.

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Title An IV test for a unit root in generally trending and correlated panels
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim
Journal name Oxford bulletin of economics and statistics
Volume number 78
Issue number 5
Start page 752
End page 764
Total pages 13
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2016-10
ISSN 0305-9049
Summary This paper proposes an IV-based panel unit root test that is general enough to accommodate general error serial and cross-section dependence, and a potentially nonlinear deterministic trend function. These allowances make the new test one of the most general around. It is also very simple to implement. Indeed, the IV statistic is asymptotically invariant to not only to all nuisance parameters characterizing the dependence of the errors and the true trend function, but also the deterministic specification of the fitted test regression.
Notes Previous versions of the paper were presented at seminars at University of Maastricht, Deakin University, Queensland University of Technology, and Macquarie University. The author thanks seminar participants and in particular Joerg Breitung, Jean-Pierre Urbain, Stan Hurn, Mehdi Hosseinkouchack, Adam Clements, Chris Doucouliagos, Prasad Bhattacharya, Francesco Zanetti (Editor) and two anonymous referees for many constructive comments. Our sincere thanks also to the Knut and Alice Wallenberg Foundation for financial support through a Wallenberg Academy Fellowship and to the Jan Wallander and Tom Hedelius Foundation for financial support under research grant number P20140112:1.
Language eng
DOI 10.1111/obes.12141
Field of Research 140302 Econometric and Statistical Methods
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Department of Economics, University of Oxford and Wiley
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