Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency

By Yoosoon Chang. 2004

378 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b744088aa79ace6606fb0c237fab5c51cc53ebbd

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In Economics and Econometrics

Citations in the corpus

A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS (2012, background): “…closer scrutiny, the proper specification of time effects becomes no less important than the specification of a difference or trend stationary time series (Nelson and Plosser, 1982; Maddala and Kim, 1998; Kao and Chiang, 2000; Baltagi, Egger, and Pfaffermayr, 2003; Mark and Sul, 2003; Chang, 2004).”
On the interpretation of panel unit root tests (2012, background): “Such an alternative hypothesis lies at the heart of panel unit root tests proposed by Chang (2002, 2004).”
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2016, methodology): “In this paper we analyze changes in the time series properties of house prices over the last four decades in an attempt to shed light on three research questions: Firstly, when did house price run-ups turn into episodes of exuberance (displaying explosive dynamics) in domestic housing markets, secon”
Bootstrap Tests for Regression Models (2009, methodology): “applications of the former method to situations in which nonstationary processes are under consideration; see, for example, Chang (2004), Chang et al.”
Seemingly Unrelated Regressions (2006, methodology): “Seemingly unrelated cointegration regressions: When the non-constant regressors in Xt are integrated nonstationary variables but the errors in Ut are stationary, we call model (1) (or equivalently (2)) a seemingly unrelated cointegration regression model, see Park and Ogaki (1991), Moon (1999), Mark”
Panel Unit Root Tests in the Presence of Cross-Sectional Dependence: Finite Sample Performance and an Application (2009, neutral): “also been advanced by Chang (2004) and Smith, Leybourne, Kim amd Newbold (2004).”
Testing for Unit Roots in Small Panels with Short-run and Long-run Cross-sectional Dependencies (2009, background): “The notable contributors in theoretical research on the subject include Levin, Lin and Chu (2002), Im, Pesaran and Shin (2003), Maddala and Wu (1999), Choi (2001) and Chang (2002, 2004).”
Error-Correction–Based Cointegration Tests for Panel Data (2008, methodology): “The method resembles that used by Chang (2004) and proceeds as follows.”
Panel cointegration with global stochastic trends (2008, background): “5For example, Chang (2002,2004), Choi (2006), Moon and Perron (2004), Breitung and Das (2005), Gengenbach et al. (2005a), and Westerlund and Edgerton (2006).”
Econometric Theory and Practice: Combination Unit Root Tests for Cross-Sectionally Correlated Panels (2006, methodology): “Chang (2000) applies bootstrap methods to Taylor and Sarno’s multivariate augmented Dickey—Fuller and other related tests. Last, Chang (2002) uses the nonlinear instrumental variables methods to devise panel unit root tests.”
Energy as a driver of growth in oil exporting countries (2013, methodology): “Lee and Chang (2007) 1965/2002 22 developed countries Panel VAR, GMM GDP→EC 1971/2002 18 developing countries GDP↔EC Mahadevan and Asafu-Adjaye (2007) 1971/2002 20 energy importers and exporters Panel error correction model GDP↔EC (developed countries) EC→GDP (in the short-run for developing countri”
Second Generation Panel Unit Root Tests (2007, positive): “More recently, a second generation bootstrap unit root test has been proposed by Chang (2004).”
Unit Roots and Cointegration in Panels (2005, neutral): “Maddala and Wu (1999) and Chang (2004) have suggested a bootstrap procedure that improves the size properties of the GLS test.”
Is there a Bubble in the Chinese Housing Market? (2010, methodology): “In order to circumvent size distortions, critical values are constructed using bootstrap methods; see Chang (2004) and Westerlund (2007) for details on this procedure.”