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Heteroskedasticity Robust Panel Unit Root tests

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  • Joakim Westerlund

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    (Deakin University)

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    Abstract

    This paper proposes new unit root tests for panels where the errors may be not only serial and/or cross- orrelated, 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.

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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2014_02.pdf
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    Bibliographic Info

    Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2014_02.

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    Handle: RePEc:dkn:ecomet:fe_2014_02

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    Related research

    Keywords: Unit root test; Panel data; Unconditional heteroskedasticity; GARCH; Crosssection dependence; Common factors.;

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