منابع مشابه
An Intersection Test for Panel Unit Roots
This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...
متن کاملwww.econstor.eu An Intersection Test for Panel Unit Roots
This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...
متن کاملA Simes-type Panel Unit Root Test
This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...
متن کاملUnit Root CADF Testing with R
This introduction to the CADFtest package is a (slightly) modified version of Lupi (2009), published in the Journal of Statistical Software. CADFtest is an R package for testing for the presence of a unit root in a time series using the Covariate Augmented Dickey-Fuller (CADF) test proposed in Hansen (1995b). The procedures presented here are user friendly, allow fully automatic model specifica...
متن کاملA Simple Panel Unit Root Test in the Presence of Cross Section Dependence∗
A number of panel unit root tests that allow for cross section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard ADF regressions are augmented with the...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2012
ISSN: 0305-9049
DOI: 10.1111/j.1468-0084.2012.00690.x