Scandinavian Working Papers in Economics
Working Papers in Economics,
University of Gothenburg, Department of Economics
No 379: Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
Joakim Westerlund () and Paresh Narayan
Additional contact information
Joakim Westerlund: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Box 640, SE 40530 GÖTEBORG
Paresh Narayan: Deakin University, Postal: Australia
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.
Keywords: Panel Data; Unit Root Tests; GARCH
21 pages, September 11, 2009
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