Heteroscedasticity Robust Panel Unit Root Tests

Joakim Westerlund

Journal of Business & Economic Statistics, 2014, vol. 32, issue 1, 112-135

Abstract: This article proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroscedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the limiting distributions under the null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also provided to suggest that the new tests perform well in small samples, also when compared to some of the existing tests. Supplementary materials for this article are available online.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/10.1080/07350015.2013.857612 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Heteroskedasticity robust panel unit root tests (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:32:y:2014:i:1:p:112-135

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UBES20

DOI: 10.1080/07350015.2013.857612

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan

More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().