Nonparametric rank tests for non-stationary panels

Arbeitspapier

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence. The tests retain high power in small samples, and in contrast to other tests that accommodate cross-sectional dependence, the limiting distributions are valid for panels with finite cross-sectional dimensions.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Reihe Ökonomie / Economics Series ; No. 270

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Thema: nonparametric rank tests ; unit roots ; cointegration ; cross-sectional dependence

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Pedroni, Peter ; Vogelsang, Timothy J. ; Wagner, Martin ; Westerlund, Joakim
• Ereignis: Veröffentlichung
• (wer): Institute for Advanced Studies (IHS)
• (wo): Vienna
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/68507
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ