uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2016 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 45, no 6, 2032-2050 p.Article in journal, Meeting abstract (Refereed) Published
Abstract [en]

We consider an exact factor model with unobservable common stochastic trends imposed by non-stationary factors, and study, by simulation, the power of the likelihood ratio test for unit roots in the idiosyncratic components. The power of the test is compared with the analogous Lagrange multiplier test and the Fisher-type test proposed by Bai and Ng (A PANIC attack on unit roots and cointegration, Econometrica, 72, 1127–1177, 2004). The results suggest that the benefit of the likelihood ratio test is in panels with a small cross-section.

Place, publisher, year, edition, pages
2016. Vol. 45, no 6, 2032-2050 p.
Keyword [en]
Panel unit root, Dynamic factors, Maximum Likelihood, Likelihood ratio
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:uu:diva-236358DOI: 10.1080/03610918.2014.889155ISI: 000377774300014OAI: oai:DiVA.org:uu-236358DiVA: diva2:764171
Conference
6th Nordic Econometric Meeting, Sondeborg, Denmark, May 27-29, 2011
Projects
Solving Macroeconomic Problems Using Non-Stationary Panel Data
Funder
The Jan Wallander and Tom Hedelius Foundation, P2005-0117:1 P2009-0189:1
Available from: 2014-11-18 Created: 2014-11-18 Last updated: 2017-12-05Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Solberger, Martin

Search in DiVA

By author/editor
Solberger, Martin
By organisation
Department of Statistics
In the same journal
Communications in statistics. Simulation and computation
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 713 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf