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Panicca: Panic on Cross-Section Averages (replication data)
The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22:... -
A simple panel unit root test in the presence of cross-section dependence (re...
A number of panel unit root tests that allow for cross-section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically... -
Dynamic factor extraction of cross-sectional dependence in panel unit root te...
Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor-based... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
Panel unit root tests and spatial dependence (replication data)
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there... -
More powerful panel data unit root tests with an application to mean reversio...
Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available.... -
Trend-stationary GNP: evidence from a new exact pointwise most powerful invar...
There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit-root and trend-reverting... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Detecting periodically collapsing bubbles: a Markov-switching unit root test ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset...
