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Göteborgs universitets publikationer

Testing for Panel Unit Roots under General Cross-sectional Dependence

Författare och institution:
H. E. T. Holgersson (-); Kristofer Månsson (Institutionen för nationalekonomi med statistik); G. Shukur (-)
Publicerad i:
Communications in Statistics-Simulation and Computation, 45 ( 5 ) s. 1785-1801
ISSN:
0361-0918
Publikationstyp:
Artikel, refereegranskad vetenskaplig
Publiceringsår:
2016
Språk:
engelska
Fulltextlänk:
Sammanfattning (abstract):
In this article, we generalize four tests of multivariate linear hypothesis to panel data unit root testing. The test statistics are invariant to certain linear transformations of data and therefore simulated critical values may conveniently be used. It is demonstrated that all four tests remains well behaved in cases of where there are heterogeneous alternatives and cross-correlations between marginal variables. A Monte Carlo simulation is included to compare and contrast the tests with two well-established ones.
Ämne (baseras på Högskoleverkets indelning av forskningsämnen):
NATURVETENSKAP ->
Matematik
Nyckelord:
Invariance, Linear hypothesis, Panel data, Unit roots, multivariate-analysis, models, Mathematics
Postens nummer:
237166
Posten skapad:
2016-06-01 09:21

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