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The overall seasonal integration tests under non-stationary alternatives : a methodological note

El Montasser, Ghassen - 2011

, Ghysels, lee and Noh (1994) conducted a simulation study by considering the alternative of a non-seasonal random walk to … developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non … asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F …

Persistent link: https://www.econbiz.de/10011524855

On the power and interpretation of panel unit root tests

Karlsson, Sune; Löthgren, Mickael - 1999

Persistent link: https://www.econbiz.de/10000168495

Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence

Otero, Jesús G. (contributor); Smith, Jeremy (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003753831

Panel unit root tests in the presence of a multifactor error structure

Pesaran, M. Hashem (contributor); … - 2007

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...