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A robust panel unit root test in the presence of cross sectional dependence

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A robust panel unit root test in the presence of cross sectional dependence.pdf (703.2 KB)

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2015

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Wayne State University

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Abstract

Problems arise in testing the stationarity of the panel in the presence of cross sectional dependence and outliers. The currently available panel unit root tests are very much affected by the presence of outliers. As such, this article introduces an alternative test which is robust to outliers and cross sectional dependence. The performance and robustness of the proposed test is discussed and comparisons are made to the existing tests via simulation studies. 2015 JMASM, Inc.

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Cross sectional dependence, Outliers, Panel model, Robust test, Unit root

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https://www.scopus.com/inward/record.uri?eid=2-s2.0-84951833115&doi=10.22237%2fjmasm%2f1446351180&partnerID=40&md5=e5f579b42a4355fbdc626482638451ed
 https://oarep.usim.edu.my/handle/123456789/9245

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