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Persistent link: https://www.econbiz.de/10003086172

Stationarity properties of individual series in a panel

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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

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Realized volatility forecasting in the presence of time-varying noise

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Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

Moon, Hyungsik Roger; Perron, Benoit - 2011

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will...

Persistent link: https://www.econbiz.de/10014185969