A simple nonstationary-volatility robust panel unit root test
We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility.
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Volume (Year): 117 (2012)
Issue (Month): 1 ()
Pages: 10-13
| Handle: | RePEc:eee:ecolet:v:117:y:2012:i:1:p:10-13 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/ecolet
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