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Asymptotic Moments Of Some Unit Root Test Statistics In The Null Case

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  • Nabeya, Seiji

Abstract

For three models of linear autoregression the moments of the asymptotic distributions of the test statistics for testing the unit root are obtained in the null case, when the true drift or trend is lacking.

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  • Nabeya, Seiji, 1999. "Asymptotic Moments Of Some Unit Root Test Statistics In The Null Case," Econometric Theory, Cambridge University Press, vol. 15(1), pages 139-149, February.
    • Handle: RePEc:cup:etheor:v:15:y:1999:i:01:p:139-149_15
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    Cited by:

    1. Uwe Hassler & Mehdi Hosseinkouchack, 2016. "Panel Cointegration Testing in the Presence of Linear Time Trends," Econometrics, MDPI, vol. 4(4), pages 1-16, November.
    2. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2023. "Reprint of: Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 234(S), pages 56-69.
    3. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    4. Zhongwen Liang, 2017. "A Unified Approach on the Local Power of Panel Unit Root Tests," Papers 1710.02944, arXiv.org.
    5. 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.
    6. repec:ipg:wpaper:2014-589 is not listed on IDEAS
    7. He, Changli & Sandberg, Rickard, 2005. "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance 582, Stockholm School of Economics.
    8. Shahbaz, Muhammad & Khraief, Naceur & Mahalik, Mantu Kumar & Zaman, Khair Uz, 2014. "Are fluctuations in natural gas consumption per capita transitory? Evidence from time series and panel unit root tests," Energy, Elsevier, vol. 78(C), pages 183-195.
    9. Christophe Hurlin & Valérie Mignon, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Economie & Prévision, La Documentation Française, vol. 0(3), pages 253-294.
    10. Kajal Lahiri & Zhongwen Liang & Huaming Peng, 2017. "The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends," CESifo Working Paper Series 6313, CESifo.
    11. Chan, Felix & Pauwels, Laurent, 2011. "Model specification in panel data unit root tests with an unknown break," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1299-1309.

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