• Media type: E-Article
  • Title: Generalized fixed‐T panel unit root tests
  • Contributor: Karavias, Yiannis; Tzavalis, Elias
  • Published: Wiley, 2019
  • Published in: Scandinavian Journal of Statistics, 46 (2019) 4, Seite 1227-1251
  • Language: English
  • DOI: 10.1111/sjos.12392
  • ISSN: 1467-9469; 0303-6898
  • Origination:
  • Footnote:
  • Description: <jats:title>Abstract</jats:title><jats:p>Panel data unit root tests, which can be applied to data that do not have many time series observations, are based on very restrictive error and deterministic component specification assumptions. In this paper, we develop a new, doubly modified estimator, based on which we propose a panel unit root test that allows for multiple structural breaks, linear and nonlinear trends, heteroscedasticity, serial correlation, and error cross‐section heterogeneity, when the number of time series observations is finite. The test has the additional perk that it is invariant to the initial condition.</jats:p>