Heteroscedasticity Robust Panel Unit Root Tests |
| |
Authors: | Joakim Westerlund |
| |
Institution: | Faculty of Business and Law, School of Accounting, Economics and Finance, Deakin University, Melbourne Burwood Campus, 221 Burwood Highway, VIC, 3125, Australia, (j.westerlund@deakin.edu.au) |
| |
Abstract: | This article proposes new unit root tests for panels where the errors may be not only serial and/or cross-correlated, but also unconditionally heteroscedastic. Despite their generality, the test statistics are shown to be very simple to implement, requiring only minimal corrections and still the limiting distributions under the null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also provided to suggest that the new tests perform well in small samples, also when compared to some of the existing tests. Supplementary materials for this article are available online. |
| |
Keywords: | Common factors Cross-section dependence GARCH Panel data Unconditional heteroscedasticity |
|
|