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A simple nonstationary-volatility robust panel unit root test

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  • Demetrescu, Matei
  • Hanck, Christoph

Abstract

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.

Suggested Citation

  • Demetrescu, Matei & Hanck, Christoph, 2012. "A simple nonstationary-volatility robust panel unit root test," Economics Letters, Elsevier, vol. 117(1), pages 10-13.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:10-13
    DOI: 10.1016/j.econlet.2012.04.067
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    More about this item

    Keywords

    I(1) series; Time-varying volatility; Cross-dependent panel; Nonlinear IV;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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