Panel unit-root tests for heteroskedastic panels

• Autores: Helmut Herwartz, Simone Maxand, Fabian H.C. Raters, Yabibal M. Walle
• Localización: The Stata journal, ISSN 1536-867X, Vol. 18, Nº. 1, 2018, págs. 184-196
• Idioma: inglés
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• Resumen

  • In this article, we describe the command xtpurt, which implements the heteroskedasticity-robust panel unit-root tests suggested in Herwartz and Siedenburg (2008, Computational Statistics and Data Analysis 53: 137–150), Demetrescu and Hanck (2012a, Economics Letters 117: 10–13), and, recently, Herwartz, Maxand, and Walle (2017, Center for European, Governance and Economic Development Research Discussion Papers 314). While the former two tests are robust to time-varying volatility when the data contain only an intercept, the latter test is unique because it is asymptotically pivotal for trending heteroskedastic panels. Moreover, xtpurt incorporates lag-order selection, prewhitening, and detrending procedures to account for serial correlation and trending data.

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