Panel unit root tests under cross‐sectional dependence

By Joerg Breitung, Samarjit Das. 2005

804 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/250f4c0c8c0f784b43e393959d62b64ce4fde021

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In Economics and Econometrics

Citations in the corpus

Decomposing Scale and Technique Effects of Financial Development and Foreign Direct Investment on Renewable Energy Consumption (2022, methodology): “…RE 2.886 0.004 KL 11.811 0.000 FD 3.659 0.000 FDI 10.299 0.000 FD2 2.612 0.000 FDI2 3.041 0.002 Y 19.233 0.000 FE 7.684 0.000 Y2 3.904 0.000 IQ 39.240 0.000 Table-3: Second-Generation Unit Root Analysis results Variables Herwartz and Siedenburg (2008) Breitung and Das (2005) Level First Diff.”
An Intersection Test for Panel Unit Roots (2013, methodology): “Breitung and Das (2005) propose a feasible generalized least-squares approach that can be applied when T > n, where T denotes the number of time series observations on each of the n series.”
Unit Roots and Cointegration in Panels (2005, neutral): “Specifically, Breitung and Das (2005b) showed that in this case trob is distributed as the ordinary Dickey-Fuller test applied to the first principal component.”
Determinants of non-performing loans in Central and Eastern European countries (2014, positive): “The Levin, Lin and Chu (2002), Harris and Tzavalis (1999), Breitung and Das (2005), Im, Pesaran and Shin (2003), and Fisher-type (Choi, 2001) tests have as the null hypothesis that all the panels contain a unit root.”
The impact of government expenditure on the environment: An empirical investigation (2012, neutral): “The tests proposed by Hadri (2000), Breitung (2000) and Breitung and Das (2005) are based on a sequential limit, where first T tends to infinity for fixed N, and subsequently N tends to infinity.”
A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2002, background): “In such cases the inverse of the estimated covariance matrix may behave poorly and, therefore, a robust estimator similar to Breitung and Das (2005) is preferable.”
Panel Unit Root Tests and Spatial Dependence (2006, positive): “10In this context, Breitung and Das (2005) found that the GLS-t statistic may have severe bias if T is only slightly larger than N and the robust OLS t-statistic performs slightly worse but outperforms the nonlinear IV test of Chang (2002).”