Unit root testing in panel and time series models : new tests and economic applications

In this dissertation new test statistics for the (panel) unit root hypothesis are presented. Besides a novel approach to testing the unit root hypothesis in univariate time series, the major part of this thesis is dedicated to unit root testing in cross sectionally dependent panels with potentially time varying innovation variances. The wild bootstrap is presented as an effective means to obtain robust test procedures with good power and size properties.

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Alternative title:	Einheitswurzeltests in Panel- und Zeitreihenmodellen : neue Testverfahren und ökonomische Anwendungen
Year of publication:	2010-07-16
Authors:	Florian Siedenburg
Subject:	Wirtschafts- und Sozialwissenschaftliche Fakultät \| Faculty of Business \| Economics and Social Sciences \| Panel unit root tests \| variance breaks \| cross sectional dependence \| wild bootstrap \| Paneleinheitswurzeltests \| Varianzbrüche \| Querschnittsabhängigkeit \| externer Bootstrap

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Type of publication:	Other
Language:	English
Source:	BASE

Persistent link: https://www.econbiz.de/10009428981