Testing for unit roots in heterogeneous panels

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin

Journal of Econometrics· 2003-04-30· article· 15,333 citationsgreen

Spatial and Panel Data Analysis Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

Abstract

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Kyung So Im, M. Hashem Pesaran, Yongcheol Shin (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics. https://doi.org/10.1016/s0304-4076(03)00092-7

@article{so2003testing,
  title  = {Testing for unit roots in heterogeneous panels},
  author = {Im, Kyung So and Pesaran, M. Hashem and Shin, Yongcheol},
  year   = {2003},
  journal = {Journal of Econometrics},
  doi    = {10.1016/s0304-4076(03)00092-7}
}

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root

2002Unit root tests in panel data: asymptotic and finite-sample properties

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1999A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test

1995Estimating long-run relationships from dynamic heterogeneous panels

2001Unit root tests for panel data

1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order

1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited by

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2007A simple panel unit root test in the presence of cross‐section dependence

1999A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test

2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

1999Pooled Mean Group Estimation of Dynamic Heterogeneous Panels

2007Testing for Error Correction in Panel Data*

2012Testing for Granger non-causality in heterogeneous panels

1999Spurious regression and residual-based tests for cointegration in panel data