A simple nonstationary-volatility robust panel unit root test

We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility.

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Year of publication:	2012
Authors:	Demetrescu, Matei ; Hanck, Christoph
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 10-13
Publisher:	Elsevier
Subject:	I(1) series \| Time-varying volatility \| Cross-dependent panel \| Nonlinear IV

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010580508