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panel unit root

Second Generation Panel Unit Root Tests

Second Generation Panel Unit Root Tests

... for panel unit root tests that allows for cross-sectional correlations, various tests have been proposed belonging to what we call the class of the second generation ...

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Panel-CADF Testing with R: Panel Unit Root Tests Made Easy

Panel-CADF Testing with R: Panel Unit Root Tests Made Easy

... 4. Monte Carlo analysis In this Section we carry out a small Monte Carlo analysis to compare the size and power properties of the the different unit root tests implemented (as of today) in punitroots. We ...

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Panel Unit Root Tests and the Specification of Cross-sectional Dependence

Panel Unit Root Tests and the Specification of Cross-sectional Dependence

... for unit root in panel data has been a much debated ...generation panel unit root ...generation panel unit root ...generation unit root ...

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Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

... augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error ...other panel unit root tests based on principal components that require in addition ...

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Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

... for unit roots in panels where both cross section (N ) and time (T ) dimensions are relatively ...generation panel unit root tests pioneered by Levin, Lin and Chu (2002) and Im, Pesaran and ...

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An Improved Panel Unit Root Test Using GLS-Detrending

An Improved Panel Unit Root Test Using GLS-Detrending

... ADF unit root ...the unit root hypothesis when applied to highly persistent time series with a limited ...cient panel unit root test allowing a more reliable analysis of ...

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On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

... the panel unit root tests proposed by Chang ...(NIV) panel unit root test is valid under general error cross correlations for any N (the cross section dimension) as T (the time ...

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The effects of variance breaks on homogenous panel unit root tests

The effects of variance breaks on homogenous panel unit root tests

... root tests asymptotically depend on nuisance parameters in the presence of per- manent variance shifts. Hence, seriously distorted empirical type one errors and deceptive inference are the consequences of a ...

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Taking a New Contour: A Novel Approach to Panel Unit Root Tests

Taking a New Contour: A Novel Approach to Panel Unit Root Tests

... individual unit root tests have null distributions that are nonstandard and ...the panel unit root ...existing panel unit root tests suffer from rather serious size ...

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A nonlinear panel unit root test under cross section dependence

A nonlinear panel unit root test under cross section dependence

... of panel unit root tests allowing for cross-section dependence have been proposed in the ...heterogeneous panel unit root test for testing the null hypothesis of ...

31

Panel unit root testing and the martingale difference hypothesis for German stocks

Panel unit root testing and the martingale difference hypothesis for German stocks

... Several panel unit root tests based on different ways to account for cross-unit dependence are ...autocorrelation, unit root tests do not require strong moment conditions and can ...

11

Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks

Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks

... nonlinear panel unit root test with smooth breaks via bootstrapping simulations under the null of a random walk for the optimal frequency obtained in step 1 for each ASEAN ...a unit ...

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Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation

... for panel unit roots that is, unlike previ- ously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the ...The panel test is based on ...

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Nonstationary Volatility Robust Panel Unit Root Tests and the Great Moderation

Nonstationary Volatility Robust Panel Unit Root Tests and the Great Moderation

... for panel unit roots that is, unlike previ- ously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the ...The panel test is based on ...

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Is the Exchange Rate of Bangladesh Mean Reverting? A Panel Unit Root Approach

Is the Exchange Rate of Bangladesh Mean Reverting? A Panel Unit Root Approach

... This paper evaluates whether the exchange rate of Bangladesh is mean reverting or not by applying first-generation and second-generation panel unit root test approaches. The paper considers annual ...

9

Explaining earnings persistence: a threshold autoregressive panel unit root approach

Explaining earnings persistence: a threshold autoregressive panel unit root approach

... This paper proposes a reassessment to the hypothesis that the persistence of current earnings performance is decreasing in the magnitude of the accrual component of earnings and increasing in the magnitude of the cash ...

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Why not use standard panel unit root test for testing PPP

Why not use standard panel unit root test for testing PPP

... using panel unit root tests are widely used, however, this paper shows that the inference used in these applications are likely to be wrong, ...two panel unit root ...the ...

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A Robust Panel Unit Root Test in the Presence of Cross Sectional Dependence

A Robust Panel Unit Root Test in the Presence of Cross Sectional Dependence

... in panel data has received great attention in panel analysis for the past few ...the panel with the involvement of times series dimension in this ...via unit root test. The panel ...

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A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

... for unit roots in heterogeneous panels has at- tracted a great of deal ...the panel were cross-sectionally independently ...the panel unit root test could partly deal with the ...new ...

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A Nonlinear Panel Unit Root Test under Cross Section Dependence

A Nonlinear Panel Unit Root Test under Cross Section Dependence

... of panel unit root tests allowing for cross section dependence have been pro- posed in the ...heterogeneous panel unit root test for testing the null hypothesis of ...

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