Showing 1 - 10 of 25
Persistent link: https://www.econbiz.de/10011969530
Persistent link: https://www.econbiz.de/10011589896
Persistent link: https://www.econbiz.de/10012621573
Persistent link: https://www.econbiz.de/10012221482
Persistent link: https://www.econbiz.de/10013339186
type="main" xml:id="obes12048-abs-0001" <title type="main">Abstract</title> <p>Cross-section regressions often examine many candidate regressors. We use multiple testing procedures (MTPs) controlling the false discovery rate (FDR) — the expected ratio of false to all rejections — so as not to erroneously select variables...</p>
Persistent link: https://www.econbiz.de/10011085582
<Para ID="Par1">This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationary volatility arises, for instance, when there are structural breaks in the innovation...</para>
Persistent link: https://www.econbiz.de/10011241360
Persistent link: https://www.econbiz.de/10010848042
This article proposes a new panel unit root test based on Simes’ (1986) classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet is straightforward to implement, only requiring <italic>p</italic>-values of time series unit root tests of the series in the panel,...
Persistent link: https://www.econbiz.de/10010975484
The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV <italic>t</italic>-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no...
Persistent link: https://www.econbiz.de/10010975868