Panel unit-root tests for heteroskedastic panels

被引：16
作者：
Herwartz, Helmut [1 ]
Maxand, Simone [1 ]
Raters, Fabian H. C. [1 ]
Walle, Yabibal M. [1 ]
机构：
[1] Univ Goettingen, Dept Econ, Econometr, Gottingen, Germany
来源：
STATA JOURNAL | 2018年 / 18卷 / 01期
关键词：
st0519; xtpurt; xtunitroot; panel unit-root tests; nonstationary volatility; cross-sectional dependence; inflation;
D O I：
10.1177/1536867X1801800111
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
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.
引用
收藏
页码：184 / 196
页数：13
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