Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
Joakim Westerlund and
Paresh Narayan ()
No 379, Working Papers in Economics from University of Gothenburg, Department of Economics
Abstract:
In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.
Keywords: Panel Data; Unit Root Tests; GARCH (search for similar items in EconPapers)
JEL-codes: C23 G00 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2009-09-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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