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

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dc.contributor.authorWesterlund, Joakim
dc.contributor.authorNarayan, Paresh
dc.date.accessioned2009-09-11T08:20:42Z
dc.date.available2009-09-11T08:20:42Z
dc.date.issued2009-09-11T08:20:42Z
dc.description.abstractIn 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.identifier.issn1403-2465
dc.identifier.urihttp://hdl.handle.net/2077/21049
dc.language.isoengen
dc.relation.ispartofseriesWorking Papers in Economicsen
dc.relation.ispartofseries379en
dc.subjectPanel Dataen
dc.subjectUnit Root Testsen
dc.subjectGARCHen
dc.titleUsing Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCHen
dc.typeTexten
dc.type.svepreporten

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