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Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH

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  • Westerlund, Joakim

    ()
    (Department of Economics, School of Business, Economics and Law, Göteborg University)

  • Narayan, Paresh

    (Deakin University)

Abstract

In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.

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File URL: http://hdl.handle.net/2077/21049
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Bibliographic Info

Paper provided by University of Gothenburg, Department of Economics in its series Working Papers in Economics with number 379.

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Length: 21 pages
Date of creation: 11 Sep 2009
Date of revision:
Handle: RePEc:hhs:gunwpe:0379

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Postal: Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
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Keywords: Panel Data; Unit Root Tests; GARCH;

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  1. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 245-69, July.
  2. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
  3. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
  4. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
  5. Seo, Byeongseon, 1999. "Distribution theory for unit root tests with conditional heteroskedasticity1," Journal of Econometrics, Elsevier, vol. 91(1), pages 113-144, July.
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