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An IV Test for a Unit Root in Generally Trending and Correlated Panels

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  • Joakim Westerlund

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  • Joakim Westerlund, 2016. "An IV Test for a Unit Root in Generally Trending and Correlated Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 752-764, October.
    • Handle: RePEc:bla:obuest:v:78:y:2016:i:5:p:752-764
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    File URL: http://hdl.handle.net/10.1111/obes.12141
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    References listed on IDEAS

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    1. Chang, Yoosoon, 2002. "Nonlinear IV unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 110(2), pages 261-292, October.
    2. Bai, Jushan & Ng, Serena, 2010. "Panel Unit Root Tests With Cross-Section Dependence: A Further Investigation," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1088-1114, August.
    3. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation for Research in Economics, Yale University.
    4. 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.
    5. Joakim Westerlund, 2014. "Heteroscedasticity Robust Panel Unit Root Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 112-135, January.
    6. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
    7. Dong Wan Shin & Beong Soo So, 2001. "recursive Mean Adjustment for Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 595-612, September.
    8. Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14, pages 45-90, February.
    9. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    10. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
    11. Peter C. B. Phillips & Donggyu Sul, 2003. "Dynamic panel estimation and homogeneity testing under cross section dependence *," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 217-259, June.
    12. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
    13. 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.
    14. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
    15. Pesaran, M. Hashem & Vanessa Smith, L. & Yamagata, Takashi, 2013. "Panel unit root tests in the presence of a multifactor error structure," Journal of Econometrics, Elsevier, vol. 175(2), pages 94-115.
    16. repec:taf:jnlbes:v:30:y:2012:i:2:p:256-264 is not listed on IDEAS
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    Cited by:

    1. Juodis, Artūras & Poldermans, Rutger W., 2021. "Backward mean transformation in unit root panel data models," Economics Letters, Elsevier, vol. 201(C).

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