A robust sign test for panel unit roots under cross sectional dependence

2009 ◽  
Vol 53 (4) ◽  
pp. 1312-1327 ◽  
Author(s):  
Dong Wan Shin ◽  
Soo Jung Park ◽  
Man-Suk Oh
Keyword(s):  
Unit Roots ◽  
Sign Test ◽  
Cross Sectional ◽  
Panel Unit Roots ◽  
Cross Sectional Dependence

scholarly journals Testing for Panel Unit Roots under General Cross-sectional Dependence

2016 ◽  
Vol 45 (5) ◽  
pp. 1785-1801
Author(s):  
H. E.T. Holgersson ◽  
K. Månsson ◽  
G. Shukur
Keyword(s):  
Unit Roots ◽  
Cross Sectional ◽  
Panel Unit Roots ◽  
Cross Sectional Dependence

scholarly journals Econometric Analysis of Panel Data Models with Multifactor Error Structures

2019 ◽  
Vol 11 (1) ◽  
pp. 495-522 ◽  
Author(s):  
Hande Karabiyik ◽  
Franz C. Palm ◽  
Jean-Pierre Urbain
Keyword(s):  
Panel Data ◽  
Common Factors ◽  
Unit Roots ◽  
Panel Data Models ◽  
Cross Sectional ◽  
Explanatory Variables ◽  
Number Of Factors ◽  
Cross Sectional Dependence ◽  
Nonstationary Panel Data ◽  
Multifactor Approach

Economic panel data often exhibit cross-sectional dependence, even after conditioning on appropriate explanatory variables. Two approaches to modeling cross-sectional dependence in economic panel data are often used: the spatial dependence approach, which explains cross-sectional dependence in terms of distance among units, and the residual multifactor approach, which explains cross-sectional dependence by common factors that affect individuals to a different extent. This article reviews the theory on estimation and statistical inference for stationary and nonstationary panel data with cross-sectional dependence, particularly for models with a multifactor error structure. Tests and diagnostics for testing for unit roots, slope homogeneity, cointegration, and the number of factors are provided. We discuss issues such as estimating common factors, dealing with parameter plethora in practice, testing for structural stability and nonlinearity, and dealing with model and parameter uncertainty. Finally, we address issues related to the use of these economic panel models.

Extent Pursuit for Cross-Sectional Dependence in Large Panels

2019 ◽  
Author(s):  
Jiti Gao ◽  
Guangming Pan ◽  
Yanrong Yang ◽  
Bo Zhang
Keyword(s):  
Cross Sectional ◽  
Large Panels ◽  
Cross Sectional Dependence

scholarly journals An Intersection Test for Panel Unit Roots

2012 ◽  
Vol 32 (2) ◽  
pp. 183-203 ◽  
Author(s):  
Christoph Hanck
Keyword(s):  
Unit Roots ◽  
Panel Unit Roots ◽  
Intersection Test

ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER

2006 ◽  
Vol 22 (06) ◽  
Author(s):  
H.R. Moon ◽  
B. Perron ◽  
P.C.B. Phillips
Keyword(s):  
Unit Roots ◽  
Asymptotic Power ◽  
Panel Unit Roots ◽  
Local Asymptotic Power
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