A simple nonstationary-volatility robust panel unit root test

C-Tier

Journal: Economics Letters

Year: 2012

Volume: 117

Issue: 1

Pages: 10-13

Authors (2)

Demetrescu, Matei (TU Dortmund, Fakultät Statisti...) Hanck, Christoph (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility.

A simple nonstationary-volatility robust panel unit root test

Authors (2)

Abstract

Technical Details