A Robust Panel Unit Root Test in the Presence of Cross Sectional Dependence

Autor:	Nor Aishah Hamzah, Nurul Sima Mohamad Shariff
Rok vydání:	2015
Předmět:	Statistics and Probability Robustness (computer science) Unit root test Outlier Statistics Econometrics Unit root Statistics Probability and Uncertainty Mathematics
Zdroj:	Journal of Modern Applied Statistical Methods. 14:159-171
ISSN:	1538-9472
DOI:	10.22237/jmasm/1446351180
Popis:	Problems arise in testing the stationarity of the panel in the presence of cross sectional dependence and outliers. The currently available panel unit root tests are very much affected by the presence of outliers. As such, this article introduces an alternative test which is robust to outliers and cross sectional dependence. The performance and robustness of the proposed test is discussed and comparisons are made to the existing tests via simulation studies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8ec1fef1906efeb10c10849de0cde137 https://doi.org/10.22237/jmasm/1446351180 Zobrazit plný text záznamu