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

vorgelegt von Florian Siedenburg

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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Year of publication:	2010
Authors:	Siedenburg, Florian
Other Persons:	Herwartz, Helmut (contributor)
Subject:	Einheitswurzeltest \| Unit root test \| Zeitreihenanalyse \| Time series analysis \| Panel \| Panel study \| Theorie \| Theory \| Schätzung \| Estimation \| Arbeitskosten \| Labour costs \| Wirtschaftliche Konvergenz \| Economic convergence \| Eurozone \| Euro area
Description of contents:	Table of Contents [gbv.de]

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Siedenburg, Florian *1979-*. Unit root testing in panel and time series models, 2010. - Online-Ressource

Persistent link: https://www.econbiz.de/10008732374