Heteroskedasticity‐Robust Unit Root Testing for Trending Panels
| Autor: | Simone Maxand, Yabibal M. Walle, Helmut Herwartz |
|---|---|
| Přispěvatelé: | Helsinki Institute of Sustainability Science (HELSUS), Economics |
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
BREAK Heteroscedasticity Panel unit root tests DEMAND Trend stationary TIME-SERIES 01 natural sciences GDP SHOCKS 010104 statistics & probability ENERGY-CONSUMPTION PERMANENT Consistency (statistics) TEMPORARY 0502 economics and business Statistics Test statistic Econometrics 0101 mathematics 050205 econometrics Mathematics Series (mathematics) Applied Mathematics 05 social sciences non-stationary volatility CROSS-SECTIONAL DEPENDENCE energy use per capita near epoch dependence 511 Economics Unit root Statistics Probability and Uncertainty Volatility (finance) Null hypothesis |
| Popis: | Time-varying volatility and linear trends are common features of several macroeconomic time series. Recent articles have proposed panel unit root tests (PURTs) that are pivotal in the presence of volatility shifts, excluding linear trends, however. This article proposes a new PURT that works well for data that is both heteroskedastic and trending. Under the null hypothesis, the test statistic has a limiting Gaussian distribution. We derive the local asymptotic power to underpin the consistency of the test statistic. Simulation results reveal that the test performs well in small samples. As an empirical illustration, we examine the stationarity of energy use per capita in OECD economies. While the series are in general difference stationary, they could also be considered as trend stationary for specific time spans. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|