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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

An IV Test for a Unit Root in Generally Trending and Correlated Panels

Author

  • Joakim Westerlund

Summary, in English

This paper proposes an IV-based panel unit root test that is general enough to accommodate general error serial and cross-section dependence, and a potentially nonlinear deterministic trend function. These allowances make the new test one of the most general around. It is also very simple to implement. Indeed, the IV statistic is asymptotically invariant to not only to all nuisance parameters characterizing the dependence of the errors and the true trend function, but also the deterministic specification of the fitted test regression.

Department/s

  • Department of Economics

Publishing year

2016-10-01

Language

English

Pages

752-764

Publication/Series

Oxford Bulletin of Economics and Statistics

Volume

78

Issue

5

Document type

Journal article

Publisher

Wiley-Blackwell

Topic

  • Probability Theory and Statistics
  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 0305-9049