Heteroskedasticity-Robust Unit Root Testing for Trending Panels
نویسندگان
چکیده
منابع مشابه
A Truly Invariant Test for a Unit Root in Generally Trending and Correlated Panels∗
The asymptotic distribution of all unit root test statistics depend on the deterministic specification of the fitted test regression, which need not be equal to the true one. In time series, this implies that different deterministic specifications have their own critical values, whereas in panels, it implies that different specifications have their own mean and variance correction factors. This...
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The so-called Cauchy estimator uses the sign of the first lag as instrument variable in autoregressions, and the resulting IV t-type statistic has a standard normal limiting distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF] test can be avoided. Moreover, the ADF test is affected by unconditional heterosk...
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It is known that the normal Dickey-Fuller critical values for unit root tests are distort when conditional heteroskedasticity in the errors is present (Hamori and Tokihisa (1997)). In this paper we will be introducing robust critical values for unit root tests under the presence of conditional heteroskedasticity using wild bootstrapping methodology suggested by Wu (1986). Monte Carlo simulation...
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------------------------------------------------------------------------------------------------------------------Abstract: This study develops new tests for unit roots and cointegration rank in heterogeneous time series panels using methods that are robust to the presence of both incidental trends and cross sectional dependency of unknown form. Furthermore, the procedures do not require a choi...
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A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2992513