Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH

dc.contributor.author	Westerlund, Joakim
dc.contributor.author	Narayan, Paresh
dc.date.accessioned	2009-09-11T08:20:42Z
dc.date.available	2009-09-11T08:20:42Z
dc.date.issued	2009-09-11T08:20:42Z
dc.identifier.issn	1403-2465
dc.identifier.uri	http://hdl.handle.net/2077/21049
dc.description.abstract	In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.	en
dc.language.iso	eng	en
dc.relation.ispartofseries	Working Papers in Economics	en
dc.relation.ispartofseries	379	en
dc.subject	Panel Data	en
dc.subject	Unit Root Tests	en
dc.subject	GARCH	en
dc.title	Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH	en
dc.type	Text	en
dc.type.svep	report	en