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Heteroskedasticity‐Robust Unit Root Testing for Trending Panels

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  • Helmut Herwartz
  • Simone Maxand
  • Yabibal M. Walle

Abstract

Time‐varying volatility and linear trends are common features of several macroeconomic time series. Recent articles have proposed panel unit root tests (PURTs) that are pivotal in the presence of volatility shifts, excluding linear trends, however. This article proposes a new PURT that works well for data that is both heteroskedastic and trending. Under the null hypothesis, the test statistic has a limiting Gaussian distribution. We derive the local asymptotic power to underpin the consistency of the test statistic. Simulation results reveal that the test performs well in small samples. As an empirical illustration, we examine the stationarity of energy use per capita in OECD economies. While the series are in general difference stationary, they could also be considered as trend stationary for specific time spans.

Suggested Citation

  • Helmut Herwartz & Simone Maxand & Yabibal M. Walle, 2019. "Heteroskedasticity‐Robust Unit Root Testing for Trending Panels," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(5), pages 649-664, September.
    • Handle: RePEc:bla:jtsera:v:40:y:2019:i:5:p:649-664
    DOI: 10.1111/jtsa.12446
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    Cited by:

    1. S. M. Woahid Murad & Aklima Akter & Arifur Rahman & Mohammad Iqbal Hossain, 2025. "Foreign Policy Uncertainty and Export Dynamics: Insights from a Developing Economy," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 21(1), pages 49-69, November.
    2. Ben Cheikh, Nidhaleddine & Ben Zaied, Younes & Mahmoud, Faisal, 2025. "Energy transition, institutional quality, and financial development in Africa," Research in International Business and Finance, Elsevier, vol. 74(C).
    3. S. M. Woahid Murad, 2022. "The role of domestic and foreign economic uncertainties in determining the foreign exchange rates: an extended monetary approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(4), pages 666-677, October.
    4. Paweł Miłobędzki, 2022. "Are Vaccinations Alone Enough to Curb the Dynamics of the COVID-19 Pandemic in the European Union?," Econometrics, MDPI, vol. 10(2), pages 1-12, May.
    5. Shahbaz, Muhammad & Sinha, Avik & Ahmad, Shabbir & Jiao, Zhilun & Wang, Zhaohua, 2021. "Role of FDI in Decomposing of Scale and Technique Effects on China’s Energy Consumption," MPRA Paper 111231, University Library of Munich, Germany, revised 2021.
    6. Helmut Herwartz & Bernd Theilen, 2024. "Green Parties and the Quest for Biodiversity: The Political Economy of Fiscal Commitments in OECD Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(9), pages 2455-2486, September.
    7. MAGAZZINO, Cosimo & LEOGRANDE, Angelo, 2021. "Subjective Well-Being In Italian Regions: A Panel Data Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 21(1), pages 1-18.
    8. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    9. Muntasir Murshed, 2025. "The relevance of scaling technological innovation finances for evading the carbon curse of mineral resources: Insights from Latin America and the Caribbean," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 38(1), pages 159-175, March.
    10. Jamal G. HUSEIN & S. Murat KARA, 2023. "Are Shocks To Electricity Consumption Permanent Or Transitory? Evidence From A Panel Stationarity Test With Gradual Structural Breaks For 25 Oecd Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 23(1), pages 57-76.
    11. Vighneswara Swamy & Munusamy Dharani, 2021. "Thresholds in finance–growth nexus: Evidence from G‐7 economies," Australian Economic Papers, Wiley Blackwell, vol. 60(1), pages 1-40, March.
    12. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
    13. Hicham Ayad & Aissa Djedaiet, 2026. "Does the unemployment rate matter for environmental issues in the G7 nations? New testing for the environmental Phillips curve using the load capacity factor," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 28(1), pages 187-217, January.

    More about this item

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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