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Unit root tests for panel data

Choi, In - In: Journal of international money and finance 20 (2001) 2, pp. 249-272

Persistent link: https://www.econbiz.de/10001554424

Instrumental variables estimation of a nearly nonstationary, heterogenous error component model

Choi, In - In: Journal of econometrics 109 (2002) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10001663891

Subsampling vector autoregressive tests of linear constraints

Choi, In - In: Journal of econometrics 124 (2005) 1, pp. 55-89

Persistent link: https://www.econbiz.de/10002439389

Panel cointegration

Choi, In - In: The Oxford handbook of panel data, (pp. 46-75). 2015

Persistent link: https://www.econbiz.de/10010472609

Panel Cointegration

Choi, In - In: The Oxford handbook of panel data. 2015

Persistent link: https://www.econbiz.de/10013476542

A general framework for testing I(m) against I(m+k)

Choi, In; Yu, Byungchul - In: Journal of economic theory and econometrics : journal … 3 (1997) 1, pp. 103-138

Persistent link: https://www.econbiz.de/10001560604

Unit Root Tests for Dependent and Heterogeneous Micropanels

Choi, In - 2014

This paper proposes a panel unit root test for micropanels with short time dimension (T) and large cross section (N). There are several distinctive features of this test. First, the test is based on a panel AR(1) model, which allows for cross-sectional dependency, which is introduced by the...

Persistent link: https://www.econbiz.de/10013049661

Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices

Choi, In; Chue, Timothy K. - In: Journal of applied econometrics 22 (2007) 2, pp. 233-264

Persistent link: https://www.econbiz.de/10003455445

Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels

Choi, In; Jung, Sanghyun - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 177-203

Persistent link: https://www.econbiz.de/10012488908

Unit Roots in Economic and Financial Time Series : A Re-Evaluation at the Decision-Based Significance Levels

Kim, Jae H.; Choi, In - 2018

This paper re-evaluates the key past results of unit root tests, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The decision-based significance levels for popular unit root tests, chosen using the line of enlightened...

Persistent link: https://www.econbiz.de/10014131181