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Asymptotic normal tests for integration in panels with cross-dependent units

  • Uwe Hassler

    ()

  • Matei Demetrescu
  • Adina Tarcolea

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File URL: http://hdl.handle.net/10.1007/s10182-011-0153-6
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Article provided by Springer & German Statistical Society in its journal AStA Advances in Statistical Analysis.

Volume (Year): 95 (2011)
Issue (Month): 2 (June)
Pages: 187-204

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Handle: RePEc:spr:alstar:v:95:y:2011:i:2:p:187-204
DOI: 10.1007/s10182-011-0153-6
Contact details of provider: Web page: http://www.springer.com

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Order Information: Web: http://www.springer.com/statistics/journal/10182/PS2

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  1. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
  2. 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.
  3. Hassler, Uwe & Breitung, J rg, 2006. "A Residual-Based Lm-Type Test Against Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1091-1111, December.
  4. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, 07.
  5. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
  6. Hyungsik Roger MOON & Benoit PERRON, 2002. "Testing For A Unit Root In Panels With Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  7. Chang, Yoosoon, 2004. "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
  8. Matei Demetrescu & Uwe Hassler & Adina-Ioana Tarcolea, 2006. "Combining Significance of Correlated Statistics with Application to Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 647-663, October.
  9. Francis X. Diebold & Glenn D. Rudebusch, 1990. "On the power of Dickey-Fuller tests against fractional alternatives," Finance and Economics Discussion Series 119, Board of Governors of the Federal Reserve System (U.S.).
  10. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  11. Samarjit Das & Joerg Breitung, 2004. "Panel Unit Root Tests under Cross- sectional Dependence," Econometric Society 2004 North American Summer Meetings 55, Econometric Society.
  12. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  13. 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.
  14. Matei Demetrescu & Uwe Hassler & Vladimir Kuzin, 2011. "Pitfalls of post-model-selection testing: experimental quantification," Empirical Economics, Springer, vol. 40(2), pages 359-372, April.
  15. Morten Ørregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 372-398.
  16. Demetrescu, Matei & Kuzin, Vladimir & Hassler, Uwe, 2008. "Long Memory Testing In The Time Domain," Econometric Theory, Cambridge University Press, vol. 24(01), pages 176-215, February.
  17. Matei Demetrescu & Adina Tarcolea, 2008. "Bias correction for the regression-based LM fractional integration test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(1), pages 91-99, February.
  18. 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.
  19. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  20. Banerjee, Anindya, 1999. " Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 607-29, Special I.
  21. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  22. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
  23. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  24. 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, 06.
  25. Kew, Hsein & Harris, David, 2009. "Heteroskedasticity-Robust Testing For A Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1734-1753, December.
  26. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
  27. Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2009. "Testing For General Fractional Integration In The Time Domain," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1793-1828, December.
  28. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
  29. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
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