| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060025 | Economics Letters | 2012 | 4 Pages |
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.
⺠We propose an IV panel unit root test robust to nonstationary error volatility. ⺠Its finite-sample performance is good even for many units and strong correlation. ⺠An application to GDP prices illustrates the impact of nonstationary volatility.
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Economics and Econometrics
Authors
Matei Demetrescu, Christoph Hanck,