Journal
ECONOMICS LETTERS
Volume 117, Issue 1, Pages 10-13Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2012.04.067
Keywords
I(1) series; Time-varying volatility; Cross-dependent panel; Nonlinear IV
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We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility. (C) 2012 Elsevier B.V. All rights reserved.
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