A simple nonstationary-volatility robust panel unit root test

Matei Demetrescu and Christoph Hanck

Economics Letters, 2012, vol. 117, issue 1, 10-13

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.

Keywords: I(1) series; Time-varying volatility; Cross-dependent panel; Nonlinear IV (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:10-13

DOI: 10.1016/j.econlet.2012.04.067

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