Panel unit-root tests for heteroskedastic panels

Helmut Herwartz, Simone Maxand, Fabian H. C. Raters () and Yabibal Walle
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Helmut Herwartz: University of Goettingen
Simone Maxand: University of Goettingen
Fabian H. C. Raters: University of Goettingen

Stata Journal, 2018, vol. 18, issue 1, 184-196

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.

Keywords: xtpurt; xtunitroot; panel unit-root tests; nonstationary volatility; cross-sectional dependence; inflation (search for similar items in EconPapers)
Date: 2018
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