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Recursive mean adjustment for panel unit root tests

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  • Shin, Dong Wan
  • Kang, Seungho
  • Oh, Man-Suk

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  • Shin, Dong Wan & Kang, Seungho & Oh, Man-Suk, 2004. "Recursive mean adjustment for panel unit root tests," Economics Letters, Elsevier, vol. 84(3), pages 433-439, September.
    • Handle: RePEc:eee:ecolet:v:84:y:2004:i:3:p:433-439
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    References listed on IDEAS

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    1. 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.
    2. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    3. 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.
    4. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    5. Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
    6. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
    7. 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.
    8. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
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    Cited by:

    1. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
    2. Jang, Myoung Jin & Shin, Dong Wan, 2005. "Comparison of panel unit root tests under cross sectional dependence," Economics Letters, Elsevier, vol. 89(1), pages 12-17, October.
    3. Shin, Dong Wan & Kang, Seungho, 2006. "An instrumental variable approach for panel unit root tests under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 134(1), pages 215-234, September.
    4. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
    5. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017. "Testing the Hypothesis of a Unit Root for Independent Panels [Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.
    6. Sul, Donggyu, 2009. "Panel unit root tests under cross section dependence with recursive mean adjustment," Economics Letters, Elsevier, vol. 105(1), pages 123-126, October.
    7. Ding, Hui & Kim, Jaebeom, 2017. "Inflation-targeting and real interest rate parity: A bias correction approach," Economic Modelling, Elsevier, vol. 60(C), pages 132-137.

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