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Panel versus GARCH information in unit root testing with an application to financial markets

✍ Scribed by Westerlund, Joakim; Narayan, Paresh

Book ID
124143702
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
220 KB
Volume
41
Category
Article
ISSN
0264-9993

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## Abstract Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when