Likelihood-Based Panel Unit Root Tests for Factor Models
The thesis consists of four papers that address likelihood-based unit root tests for panel data with cross-sectional dependence arising from common factors. In the first three papers, we derive Lagrange multiplier (LM)-type tests for common and idiosyncratic unit roots in the exact factor models bas...
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| Format: | Doctoral Thesis |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-233094 http://nbn-resolving.de/urn:isbn:978-91-554-9049-2 |