Search Results

Testing for Seasonal Unit Roots in Heterogeneous Panels,
Jesus Otero, Jeremy Smith and Monica Giulietti, from University of Warwick, Department of Economics (2004)
Keywords: Heterogeneous dynamic panels ; Monte Carlo ; seasonal unit roots

Reflections on “Testing for Unit Roots in Heterogeneous Panels”,
Kyung So Im, Mohammad Pesaran and Yongcheol Shin, from CESifo (2023)
Keywords: Dickey and Fuller statistic, stationarity, panel unit root tests, prevalence of unit roots

Reflections on "Testing for Unit Roots in Heterogeneous Panels",
Kyung So Im, Mohammad Pesaran and Yongcheol Shin, from Faculty of Economics, University of Cambridge (2023)
Keywords: Dickey and Fuller statistic, stationarity, panel unit root tests, prevalence of unit roots.

Testing for nonlinear panel unit roots under cross-sectional dependency — With an application to the PPP hypothesis,
Kristofer Månsson and Pär Sjölander, in Economic Modelling (2014)
Keywords: Panel data; Unit roots; Nonlinearity; ESTAR;

A new score test for unit roots in heterogeneous panels -- Residual likelihood approach,
Yujin Oh, Yong Bin Lim and Beong Soo So, in Economics Letters (2010)
Keywords: Tests for unit roots Residual likelihood Heterogeneous panels Nuisance mean parameters

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration,
Michael Binder, Cheng Hsiao, and M. Hashem Pesaran, from Society for Computational Economics (2001)
Keywords: Panel Vector Autoregressions, Fixed Effects, Unit Roots, Cointegration

Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration,
Michael Binder, Cheng Hsiao and Mohammad Pesaran, from CESifo (2000)
Keywords: Panel vector autoregressions, fixed effects, unit roots, cointegration

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration,
Michael Binder, C. Hsaio and Mohammad Pesaran, from Faculty of Economics, University of Cambridge (2000)
Keywords: Panel vector autoregressions, Fixed effects, Unit roots, Cointegration

Testing for unit roots in panels by using a mixture model,
Edith Madsen, from University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics (2003)
Keywords: dynamic panel data model; mixture model; maximum likelihood estimation; random coefficients; unit roots

Reprint of: Testing for unit roots in heterogeneous panels,
Kyung So Im, Mohammad Pesaran and Yongcheol Shin, in Journal of Econometrics (2023)
Keywords: Heterogeneous dynamic panels; Tests of unit roots; t-bar statistics; Finite sample properties;

Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels,
Changli He and Rickard Sandberg, from Stockholm School of Economics (2005)
Keywords: Dynamic nonlinear heterogenous panels; Structural breaks; Unit roots; t-statistics; Central limit theorem;

A Panel-CADF Test for Unit Roots,
Mauro Costantini, Claudio Lupi and Stephan Popp, from University of Molise, Department of Economics (2007)
Keywords: Unit root, Panel data, Cross-unit dependence

On PPP, unit roots and panels,
Martin Wagner, in Empirical Economics (2008)
Keywords: PPP, Real exchange rate index, Unit root, Panel, Cross-sectional dependence, Factor model, C23, F30, F31,

On PPP, Unit Roots and Panels,
Martin Wagner, from Institute for Advanced Studies (2005)
Keywords: PPP, Real exchange rate index, Unit root, Panel, Cross-sectional dependence, Factor model

Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence,
Monica Giulietti, Jesus Otero and Jeremy Smith, in Economics Letters (2008)
Keywords: Heterogeneous dynamic panels Unit roots Cross-sectional dependence

Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence,
Monica Giulietti, Jesus Otero and Jeremy Smith, from University of Warwick, Department of Economics (2006)
Keywords: Heterogeneous dynamic panels ; Monte Carlo ; unit roots ; cross-sectional dependence

Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms,
Hugo Kruiniger and Elias Tzavalis, from Queen Mary University of London, School of Economics and Finance (2002)
Keywords: Panel data, Unit roots, Serial correlation, Heteroscedasticity, Central limit theorem

HADRILM: Stata module to perform Hadri panel unit root test,
Christopher Baum, from Boston College Department of Economics (2003)
Keywords: panel data, stationarity, unit roots

Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence,
Monica Giulietti, Jesus Otero and Jeremy Smith, from University of Warwick, Department of Economics (2007)
Keywords: Heterogeneous dynamic panels ; Monte Carlo ; seasonal unit roots ; cross sectional dependence

Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension,
Stefan De Wachter, Richard Harris and Elias Tzavalis, from Queen Mary University of London, School of Economics and Finance (2005)
Keywords: Dynamic longitudinal (panel) data, Generalized method of moments, Instrumental variables, Unit roots, Moving average errors

Testing for unit roots in short panels allowing for a structural break,
Yiannis Karavias and Elias Tzavalis, in Computational Statistics & Data Analysis (2014)
Keywords: Panel data models; Unit roots; Structural breaks; Sequential tests; Bootstrap; Trade openness;

Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends,
Richard Harris and Elias Tzavalis, from University of Exeter, Department of Economics (1997)
Keywords: Panel Data, Unit Roots, Fixed Effects, Central Limit Theorem, Score Vector, Market Efficiency Hypothesis

IPSHIN: Stata module to perform Im-Pesaran-Shin panel unit root test,
Fabian Bornhorst and Christopher Baum, from Boston College Department of Economics (2007)
Keywords: panel data, stationarity, unit roots

LEVINLIN: Stata module to perform Levin-Lin-Chu panel unit root test,
Fabian Bornhorst and Christopher Baum, from Boston College Department of Economics (2006)
Keywords: panel data, stationarity, unit roots

An intersection test for panel unit roots,
Christoph Hanck, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2008)
Keywords: Multiple Testing, Panel Unit Root Test, Cross-Sectional Dependence

Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence,
Jesus Otero, Jeremy Smith and Monica Giulietti, from University of Warwick, Department of Economics (2008)
Keywords: Panel unit root tests ; seasonal unit roots ; monthly data ; cross sectional dependence ; Monte Carlo

Thailand's International Tourism Demand: Seasonal Panel Unit Roots and the Related Cointegration Model,
Jintanee Jintranun, Songsak Sriboonchitta, Peter Calkins and Chukiat Chaiboonsri, in Review of Economics & Finance (2011)
Keywords: Tourism demand, Seasonal panel unit roots, GMM, Thailand, Panel data analysis

TESTING FOR A UNIT ROOT IN PANELS WITH DYNAMIC FACTORS,
Hyungsik Moon and Benoit Perron, from Centre interuniversitaire de recherche en économie quantitative, CIREQ (2002)
Keywords: unit roots, panel data, factor models

Unit Roots In Macroeconomics: A Survey,
Masao Ogaki, from University of Rochester - Center for Economic Research (RCER) (1993)
Keywords: unit roots ; macroeconomics

A Survey of Spatial Unit Roots,
Badi Baltagi and Junjie Shu, in Mathematics (2024)
Keywords: spatial correlation; spatial unit roots; nonstationarity; spurious spatial regression; panel data

Growth and Convergence of Social Sectors’ Expenditure in Indian States: Upshots from Neoclassical Growth and Panel Unit Roots Models,
Ramesh Chandra Das and Enrico Ivaldi, in Journal of Infrastructure Development (2020)
Keywords: Social sector; absolute and conditional convergence; σ convergence; panel unit roots; Indian states

Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite,
Yiannis Karavias and Elias Tzavalis, from University of Nottingham, Granger Centre for Time Series Econometrics (2014)
Keywords: Panel data; Unit roots; Structural breaks; Spatial dependence; Serial correlation; Fixed T

Inference for Unit Roots in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed,
Changli He and Rickard Sandberg, from Stockholm School of Economics (2005)
Keywords: Dynamic nonlinear panel; Smooth transitions; Structural breaks; Unit roots; LSDV estimation; Central limit theorem;

Generalized fixed-T panel unit root tests allowing for structural breaks,
Yiannis Karavias and Elias Tzavalis, from University of Nottingham, Granger Centre for Time Series Econometrics (2012)
Keywords: Panel data models; unit roots; structural breaks

Generalized �Fixed-T Panel Unit Root Tests Allowing for Structural Breaks,
Yiannis Karavias and Elias Tzavalis, from University Library of Munich, Germany (2012)
Keywords: Panel data models; unit roots; structural breaks;

Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends,
Richard Harris and Elias Tzavalis, in Econometric Reviews (2004)
Keywords: Panel data, Unit roots, Fixed effects, Central limit theorem, Score vector, Real dividends, Stock prices,

BREITUNG: RATS procedure to perform Breitung test for unit roots in panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Panel unit root test

PESCADF: Stata module to perform Pesaran's CADF panel unit root test in presence of cross section dependence,
Piotr Lewandowski, from Boston College Department of Economics (2007)
Keywords: panel data, stationarity, unit roots, panel unit root

A Simple Panel-CADF Test for Unit Roots,
Mauro Costantini and Claudio Lupi, from University of Molise, Department of Economics (2011)
Keywords: Unit Root, Panel data, Approximate p values, Monte Carlo

Testing for Panel Unit Roots in the Presence of Spatial Dependency,
Kristofer Månsson, Ghazi Shukur and Pär Sjölander, from HUI Research (2012)
Keywords: Panel data; unit root tests; spatial dependency; Monte Carlo simulations

A Simple Panel-CADF Test for Unit Roots,
Mauro Costantini and Claudio Lupi, from Institute for Advanced Studies (2011)
Keywords: Unit root, panel data, approximate p-values, Monte Carlo

Real Cost of Employment and Turkish Labour Market: A Panel Cointegration Tests Approach,
Melike Bildirici, in International Journal of Applied Econometrics and Quantitative Studies (2004)
Keywords: Employment, Panel Cointegration, Unit Roots

International Migration to Germany: Estimation of a Time-Series Model and Inference in Panel Cointegration,
Herbert Brücker, Boriss Siliverstovs and Parvati Trübswetter, from DIW Berlin, German Institute for Economic Research (2003)
Keywords: Migration, unit roots, panel cointegration

HADRI: RATS procedure to implement Hadri test for unit roots in panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests for panel data

Panel Tests for Unit Roots in Hours Worked,
Marcus Kappler, from ZEW - Leibniz Centre for European Economic Research (2006)
Keywords: Hours worked, panel unit root, cross section dependence, unobserved common factor, cointegration

On Periodic Structures and Testing for Seasonal Unit Roots,
Eric Ghysels, Alastair Hall and Hahn Lee, from Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
Keywords: UNIT ROOTS;TESTS

Unit roots, nonlinearities and structural breaks,
Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus Varneskov, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Unit roots, nonlinearity, structural breaks.

A Nonparametric Test for Seasonal Unit Roots,
Robert Kunst, from Institute for Advanced Studies (2009)
Keywords: Seasonality, Nonparametric test, Unit roots

Hysteresis in Unemployment: Panel Unit Roots Tests Using State Level Data,
Ramesh Mohan, Francis Kemegue and Fahlino Sjuib, from University Library of Munich, Germany (2007)
Keywords: Hysteresis; Unemployment; panel unit root test

Unit Roots in White Noise,
Alexei Onatski and Harald Uhlig, from University Library of Munich, Germany (2009)
Keywords: unit roots, unit root, white noise, asymptotics, autoregression, Granger and Jeon, clustering of roots

Double unit root tests for cross-sectionally dependent panel data,
Dong Wan Shin, Yoon Young Jung and Man-Suk Oh, in Journal of Applied Statistics (2008)
Keywords: panel double unit roots, defactoring, recursive adjustment, symmetric estimation; nonstationarity,

Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems,
Peter Pedroni and Timothy Vogelsang, from Department of Economics, Williams College (2005)
Keywords: Panel Unit Roots, Cointegration Rank Tests, Robust Autocovariance Estimation

Level shifts, unit roots and the purchasing power parity,
María Gadea, Antonio Montañés and Marcelo Reyes, from Society for Computational Economics (2002)
Keywords: Unit roots; structural breaks;PPP

LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Panel unit root test

Testing for Unit Roots With Missing Observations,
Kevin F. Ryan and David Giles, from Department of Economics, University of Victoria (1998)
Keywords: Unit Roots, Dickey-Fuller Test, Missing Data

Testing for Unit Roots with Stationary Covariates,
Graham Elliott and Michael Jansson, from Department of Economics, Institute for Business and Economic Research, UC Berkeley (2002)
Keywords: unit roots, power envelopes, structural vector autoregressions

Testing for Unit Roots with Stationary Covariances,
Graham Elliott and Michael Jansson, from Department of Economics, Institute for Business and Economic Research, UC Berkeley (2000)
Keywords: unit roots, stationary covariates, integrated series

Testing for Unit Roots with Stationary Covariates,
Graham Elliott and Michael Jansson, from Department of Economics, UC San Diego (2002)
Keywords: unit roots, power envelopes, structural vector autoregressions

Testing for Unit Roots with Stationary Covariances,
Graham Elliott and Michael Jansson, from Department of Economics, UC San Diego (2000)
Keywords: unit roots, stationary covariates, integrated series

Testing for Unit Roots with Stationary Covariates,
Graham Elliott and Michael Jansson, from Department of Economics and Business Economics, Aarhus University
Keywords: Unit roots, power envelope, structural VAR's

Testing for Unit Roots With Missing Observations,
Kevin F. Ryan and David Giles, from Department of Economics, University of Victoria (1998)
Keywords: Unit Roots, Dickey-Fuller Test, Missing Data

Unemployment Hysteresis in the US and the EU: a Panel Data Approach,
Miguel Leon-Ledesma, from School of Economics, University of Kent (2000)
Keywords: Unemployment Hysteresis; Unit Roots; Panel Tests

Testing for Unit Roots in Panel Data Using a Wavelet Ratio Method,
Yushu Li and Ghazi Shukur, in Computational Economics (2013)
Keywords: Wavelet, Panel data, Unit root, Cross sectional dependence, Wavestrapping,

Unit roots: Periodogram ordinate,
B.B. Bhattacharyya, G.D. Richardson and P.V. Flores, in Statistics & Probability Letters (2006)
Keywords: Autoregressive moving average processes Unit roots Periodogram ordinate Limiting distributions

Inter-district Analysis of Credit Convergence: Outlooks from Neoclassical Growth and Panel Unit Root Models for West Bengal, India,
Ramesh Chandra Das, Bankim Chandra Ghosh and Indrani Basu, in Global Business Review (2021)
Keywords: Bank credit; convergence; divergence; neoclassical theory; panel unit roots

Unit root inference in panel data models where the time-series dimension is fixed: A comparison of different tests,
Edith Madsen, from University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics (2003)
Keywords: dynamic panel data model; unit roots; local alternatives; initial values

On the bias of the OLS estimator in a nonstationary dynamic panel data model,
Jean-Yves Pitarakis, in Statistics & Probability Letters (1998)
Keywords: Panel data Moment generating function Unit roots

PPP TESTS IN COINTEGRATED PANELS: EVIDENCE FROM ASIAN DEVELOPING COUNTRIES,
Syed Basher and Mohammed Mohsin, from York University, Department of Economics (2002)
Keywords: Purchasing Power Parity, Panel Cointegration, Unit Roots.

MULTIPC2D: RATS module for cointegration tests in heterogenous panels with multiple regressors,
Peter Pedroni, from Boston College Department of Economics (2001)
Keywords: unit roots, cointegration, panel data, nonparametric

Unit roots: identification and testing in micro panels,
Stephen Bond, Celine Nauges and Frank Windmeijer, from Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2005)
Keywords: Generalised Method of Moments, identification, unit root tests

Panel Methods to Test for Unit Roots and Cointegration,
Anindya Banerjee and Martin Wagner, from Palgrave Macmillan (2009)
Keywords: Gross Domestic Product, Unit Root, Unit Root Test, Purchase Power Parity, Environmental Kuznets Curve

Impacto De Las Patentes Sobre El Crecimiento Económico: Un Modelo Panel Cointegrado [Impact of Patents on Economic Growth: A Cointegrated Panel Data Model],
Jacobo Campo Robledo, from HAL (2012)
Keywords: Economic Growth,Patents,Production Function,Panel Unit Roots,Panel.,Panel

Structural changes, common stochastic trends and unit roots in panel data,
Jushan Bai; Josep Lluís Carrion-i-Silvestre, from Econometric Society (2004)
Keywords: multiple structural breaks, common factors, panel data unit root tests, principal components

Unit Roots Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks,
Dan Ben-David, L.R. Lumsdaine and David Papell, from Tel Aviv (1996)
Keywords: UNIT ROOTS;ECONOMIC GROWTH

Long-run growth patterns within Asian NIEs: Empirical analysis based on the panel unit root test, allowing the heterogeneity of time trend and endogenous multiple structural breaks,
Takashi Matsuki and Ryoichi Usami, from University Library of Munich, Germany (2008)
Keywords: convergence; Asian NIEs; unit roots; nonstationary panels; structural breaks

A sequential approach to testing seasonal unit roots in high frequency data,
Paulo Rodrigues and Philip Hans Franses, in Journal of Applied Statistics (2005)
Keywords: Seasonal unit roots, temporal aggregation,

Unit roots and all that: the impact of time-series methods on macroeconomics,
Ronald Smith, in Journal of Economic Methodology (1999)
Keywords: Unit-roots, time-series, macroeconomics,

Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests,
Richard Smith and Robert Taylor, from Faculty of Economics, University of Cambridge (1995)
Keywords: UNIT ROOTS;TESTS;TIME SERIES

Dynamic Specification And Testing For Unit Roots And Co-integration,
Anindya Banerjee, from Economics Department, Queen's University (1994)
Keywords: exogeneity, dynamic specification, co-integration, unit roots

Estimating the Number of Unit Roots. A Multiple Decision Approach,
Robert Kunst, from Institute for Advanced Studies (1995)
Keywords: Multiple Decision, Unit Roots, Autoregressive Processes

Unit Roots, Nonlinear Cointegration and Purchasing Power Parity,
Alfred Haug and Syed Basher, from York University, Department of Economics (2005)
Keywords: Purchasing power parity; unit roots; nonlinear cointegration

ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS,
Yoosoon Chang and Joon Park, in Econometric Reviews (2002)
Keywords: ADF tests, Unit roots, Asymptotics, Linear process, Autoregressive approximation,

Testing for Unit Roots with Prediction Errors,
Ismael Sanchez, from Department of Economics, UC San Diego (1998)
Keywords: optimal tests, predictive mean square error, unit roots

GDP and energy consumption: A panel analysis of the US,
Brinda Mahalingam and Wafa Orman, in Applied Energy (2018)
Keywords: Granger causality; Panel cointegration; Energy consumption; GDP; Panel unit roots;

A Panel Unit Root and Panel Cointegration Test of the Complementarity Hypothesis in the Mexican Case, 1960-2001,
Miguel Ramirez, from Economic Growth Center, Yale University (2006)
Keywords: Fully Modified Ordinary Least Squares (FMOLS), Panel Unit Roots, Panel Cointegration Test, Complementarity Hypothesis, Mexican Labor Productivity

A Panel Unit Root and Panel Cointegration Test of the Complementarity Hypothesis in the Mexican Case: 1960–2001,
Miguel Ramirez, in Atlantic Economic Journal (2007)
Keywords: Fully modified ordinary least squares (FMLOS), Panel unit roots, Panel cointegration test, Mexican labor productivity, O10, O40, O50,

Response Surface Estimates of the Cross-Sectionally Augmented IPS Tests for Panel Unit Roots,
Jesus Otero and Jeremy Smith, in Computational Economics (2013)
Keywords: CIPS test, Monte Carlo, Unit roots, Response surface, Critical values, P values, C12, C15,

Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison,
Luciano Gutierrez, from University Library of Munich, Germany (2003)
Keywords: Panel unit root test, Cross section dependence, Monte Carlo Simulation

The Relationship between Income, Consumption and GDP of Asian Countries: A Panel Analysis,
Sima Rani Dey, in Managing Global Transitions (2019)
Keywords: income, consumption, GDP, panel unit roots, panel cointegration

Tourism Led Growth: Evidence from Panel Cointegration Tests,
Theodore Panagiotidis, Thomas Panagiotou and Maurizio Mussoni, from Rimini Centre for Economic Analysis (2012)
Keywords: panel unit roots; panel cointegration; tourism-led-growth