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Heteroskedasticity Robust Panel Unit Root Tests

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Author

Summary, in English

This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroskedastic. Despite their

generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the limiting distributions under the null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also provided to

suggest that the new tests perform well in small samples, also when compared to some of the existing tests.

Publishing year

2014

Language

English

Pages

112-135

Publication/Series

Journal of Business & Economic Statistics

Volume

32

Issue

1

Document type

Journal article

Publisher

American Statistical Association

Topic

  • Economics

Keywords

  • Unit root test
  • Panel data
  • Unconditional heteroskedasticity
  • GARCH
  • Crosssection dependence
  • Common factors

Status

Published

ISBN/ISSN/Other

  • ISSN: 0735-0015