Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
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References listed on IDEAS
- Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004.
"Testing for a unit root in panels with dynamic factors,"
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More about this item
KeywordsPanel Data; Unit Root Tests; GARCH;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
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