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Panel unit-root tests for heteroskedastic panels

Author

Listed:
  • Helmut Herwartz

    (University of Goettingen)

  • Simone Maxand

    (University of Goettingen)

  • Fabian H. C. Raters

    (University of Goettingen)

  • Yabibal M. Walle

    (University of Goettingen)

Abstract

In this article, we describe the command xtpurt, which imple- ments the heteroskedasticity-robust panel unit-root tests suggested in Herwartz and Siedenburg (2008, Computational Statistics and Data Analysis 53: 137–150), Demetrescu and Hanck (2012a, Economics Letters 117: 10–13), and, recently, Herwartz, Maxand, and Walle (2017, Center for European, Governance and Eco- nomic Development Research Discussion Papers 314). While the former two tests are robust to time-varying volatility when the data contain only an intercept, the latter test is unique because it is asymptotically pivotal for trending heteroskedas- tic panels. Moreover, xtpurt incorporates lag-order selection, prewhitening, and detrending procedures to account for serial correlation and trending data.

Suggested Citation

  • Helmut Herwartz & Simone Maxand & Fabian H. C. Raters & Yabibal M. Walle, 2018. "Panel unit-root tests for heteroskedastic panels," Stata Journal, StataCorp LP, vol. 18(1), pages 184-196, March.
    • Handle: RePEc:tsj:stataj:v:18:y:2018:i:1:p:184-196
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    Citations

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    Cited by:

    1. Muntasir Murshed & Ilhan Ozturk & Avik Sinha & Mohammad Mahtab Alam, 2024. "RETRACTED ARTICLE: Achieving environmental sustainability through renewable energy transition in the Next Eleven countries: the importance of establishing sound democratic governance," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-24, April.
    2. Murshed, Muntasir, 2024. "Can renewable energy transition drive green growth? The role of good governance in promoting carbon emission-adjusted economic growth in Next Eleven countries," Innovation and Green Development, Elsevier, vol. 3(2).
    3. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    4. Murshed, Muntasir, 2024. "The role of Fintech financing in correcting ecological problems caused by mineral resources: Testing the novel ecological deficit hypothesis," Resources Policy, Elsevier, vol. 88(C).
    5. Helmut Herwartz & Bernd Theilen, 2024. "Green Parties and the Quest for Biodiversity: The Political Economy of Fiscal Commitments in OECD Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(9), pages 2455-2486, September.

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