Arbeitspapier
Heteroskedasticity-robust unit root testing for trending panels
Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers have proposed PURTs that are pivotal in the presence of volatility shifts. The applicability of these tests, however, has been restricted to cases where the data contains only an intercept, and not a linear trend. This paper proposes a new heteroskedasticity-robust PURT that works well for trending data. Under the null hypothesis, the test statistic has a limiting Gaussian distribution. Simulation results reveal that the test tends to be conservative but shows remarkable power in finite samples.
- Language
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Englisch
- Bibliographic citation
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Series: cege Discussion Papers ; No. 314
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Hypothesis Testing: General
Energy: General
- Subject
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panel unit root tests
nonstationary volatility
cross-sectional dependence
near epoch dependence
energy use per capita
- Event
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Geistige Schöpfung
- (who)
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Herwartz, Helmut
Maxand, Simone
Walle, Yabibal M.
- Event
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Veröffentlichung
- (who)
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University of Göttingen, Center for European, Governance and Economic Development Research (cege)
- (where)
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Göttingen
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Herwartz, Helmut
- Maxand, Simone
- Walle, Yabibal M.
- University of Göttingen, Center for European, Governance and Economic Development Research (cege)
Time of origin
- 2017
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