A Simple Panel Unit-Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure
نویسندگان
چکیده
منابع مشابه
A Panel Unit Root Test in the Presence of a Multifactor Error Structure
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the m unobserved factors that are shared by k other time series in addition to the variable under consideration. Initially we develop a test assuming that m, the true number of factors is known, and sh...
متن کاملA Supplement to Panel Unit Root Tests in the Presence of a Multifactor Error Structure
This supplement provides proofs of the main theoretical results in Pesaran, Smith and Yagamata (2012, PSY) for the case of models with linear trends, and models with intercepts and serially correlated idiosyncratic errors. It also provides theoretical results for the cross sectionally augmented Sargan-Bhargava statistics, gives the details of a number of di¤erent panel unit root tests used in t...
متن کاملPanel Unit Root Tests in the Presence of a Multifactor Error Structure
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors...
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T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christop...
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: 2015
ISSN: 0305-9049
DOI: 10.1111/obes.12109