Panel unit-root tests for heteroskedastic panels
Helmut Herwartz
University of Goettingen
Goettingen, Germany
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Simone Maxand
University of Goettingen
Goettingen, Germany
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Fabian H. C. Raters
University of Goettingen
Goettingen, Germany
[email protected]
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Yabibal M. Walle
University of Goettingen
Goettingen, Germany
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Abstract. In this article, we describe the command xtpurt, which implements the
heteroskedasticity-robust panel unit-root tests suggested in Herwartz and
Siedenburg (2008, Computational Statistics and Data Analysis 53:
137–150), Demetrescu and Hanck (2012a, Economics Letters 117:
10–13), and, recently, Herwartz, Maxand, and Walle (2017, Center for
European, Governance and Economic Development Research Discussion Papers 314).
While the former two tests are robust to time-varying volatility when the data
contain only an intercept, the latter test is unique because it is
asymptotically pivotal for trending heteroskedastic panels. Moreover,
xtpurt incorporates lag-order selection, prewhitening, and detrending
procedures to account for serial correlation and trending data.
View all articles by these authors:
Helmut Herwartz, Simone Maxand, Fabian H. C. Raters, Yabibal M. Walle
View all articles with these keywords:
xtpurt, xtunitroot, panel unit-root tests, nonstationary volatility, cross-sectional dependence, inflation
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