Unit root testing in heteroscedastic panels using the Cauchy estimator

Journal of Business and Economic Statistics

Volumn 30, Issue 2, 2012, Pages 256-264

  Demetrescu, Matei ^a   Hanck, Christoph ^b  

^a UNIVERSITY OF BONN   (Germany)

^b UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

Asymptotic normality; Cross dependent panel; Integrated process; Joint asymptotics; Nonstationary volatility; Time varying variance

Indexed keywords

EID: 84861870787     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2011.638839     Document Type: Article

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