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The accuracy of normal approximation in a heterogeneous panel data unit root test

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  • Kristian Jönsson

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  • Kristian Jönsson, 2008. "The accuracy of normal approximation in a heterogeneous panel data unit root test," Statistical Papers, Springer, vol. 49(3), pages 565-579, July.
    • Handle: RePEc:spr:stpapr:v:49:y:2008:i:3:p:565-579
    DOI: 10.1007/s00362-006-0033-4
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    References listed on IDEAS

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    1. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. 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.
    4. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
    5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    6. Kaddour Hadri & Rolf Larsson, 2005. "Testing for stationarity in heterogeneous panel data where the time dimension is finite," Econometrics Journal, Royal Economic Society, vol. 8(1), pages 55-69, March.
    7. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
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    Cited by:

    1. Christoph Hanck, 2012. "Multiple unit root tests under uncertainty over the initial condition: some powerful modifications," Statistical Papers, Springer, vol. 53(3), pages 767-774, August.

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