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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/32193
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dc.contributor.authorKaravias, Y-
dc.contributor.authorTzavalis, E-
dc.date.accessioned2025-10-20T13:36:35Z-
dc.date.available2025-10-20T13:36:35Z-
dc.date.issued2019-03-12-
dc.identifierORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537-
dc.identifier.citationKaravias, Y. and Tzavalis, E. (2019) 'Generalized fixed-T panel unit root tests', Scandinavian Journal of Statistics, 46 (4), pp. 1227 - 1251. doi: 10.1111/sjos.12392.en_US
dc.identifier.issn0303-6898-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/32193-
dc.description.abstractPanel data unit root tests, which can be applied to data that do not have many time series observations, are based on very restrictive error and deterministic component specification assumptions. In this paper, we develop a new, doubly modified estimator, based on which we propose a panel unit root test that allows for multiple structural breaks, linear and nonlinear trends, heteroscedasticity, serial correlation, and error cross-section heterogeneity, when the number of time series observations is finite. The test has the additional perk that it is invariant to the initial condition.en_US
dc.format.extent1227 - 1251-
dc.format.mediumPrint-Electronic-
dc.language.isoen_USen_US
dc.publisherWiley on behalf of Board of the Foundation of the Scandinavian Journal of Statisticsen_US
dc.rightsCopyright © 2019 Board of the Foundation of the Scandinavian Journal of Statistics. This is the peer reviewed version of the following article: Karavias Y, Tzavalis E. Generalized fixed-T panel unit root tests. Scand J Statist. 2019; 46: 1227–1251, which has been published in final form at https://doi.org/10.1111/sjos.12392. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions (see: https://authorservices.wiley.com/author-resources/Journal-Authors/licensing/self-archiving.html ).-
dc.rights.urihttps://authorservices.wiley.com/author-resources/Journal-Authors/licensing/self-archiving.html-
dc.subjectfixed Ten_US
dc.subjectnonlinear trendsen_US
dc.subjectpanel dataen_US
dc.subjectserial correlationen_US
dc.subjectstructural breaksen_US
dc.subjectunit rooten_US
dc.titleGeneralized fixed-T panel unit root testsen_US
dc.typeArticleen_US
dc.date.dateAccepted2019-01-14-
dc.identifier.doihttps://doi.org/10.1111/sjos.12392-
dc.relation.isPartOfScandinavian Journal of Statistics-
pubs.issue4-
pubs.publication-statusPublished-
pubs.volume46-
dc.identifier.eissn1467-9469-
dcterms.dateAccepted2019-01-14-
dc.rights.holderBoard of the Foundation of the Scandinavian Journal of Statistics-
Appears in Collections:Dept of Economics and Finance Research Papers

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FullText.pdfCopyright © 2019 Board of the Foundation of the Scandinavian Journal of Statistics. This is the peer reviewed version of the following article: Karavias Y, Tzavalis E. Generalized fixed-T panel unit root tests. Scand J Statist. 2019; 46: 1227–1251, which has been published in final form at https://doi.org/10.1111/sjos.12392. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions (see: https://authorservices.wiley.com/author-resources/Journal-Authors/licensing/self-archiving.html ).387.25 kBAdobe PDFView/Open
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