A simple panel stationarity test in the presence of serial correlation and a common factor

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 115
Issue: 1
Pages: 31-34

Authors (2)

Hadri, Kaddour (Queen's University) Kurozumi, Eiji (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

This paper develops a simple test à la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We also allow for serial correlation.

Technical Details

RePEc Handle
repec:eee:ecolet:v:115:y:2012:i:1:p:31-34
Journal Field
General
Author Count
2
Added to Database
2026-01-25