Panel Unit Root Tests under Cross-sectional Dependence: An Overview

By Laura Barbieri. 2009

64 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4c014b3eef321d64ae118777dae222f585a2ae05

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Citations in the corpus

• Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (2012, background): “, Moon and Perron 2004; Breitung and Das 2005; Demetrescu, Hassler, and Tarcolea 2006; Pesaran 2007) do not control size under unconditional heteroscedasticity in the time dimension. On the contrary, the Cauchy test’s univariate robustness to unconditional heteroscedasticity prevents such failure in”