Sökning: "Xingwu Zhou"

Hittade 1 avhandling innehållade orden Xingwu Zhou.

  1. 1. Likelihood-Based Panel Unit Root Tests for Factor Models

    Författare :Xingwu Zhou; Johan Lyhagen; Joakim Westerlund; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Panel unit root; Exact factor model; Dynamic factor model; Maximum likelihood; Principal components; Lagrange multiplier;

    Sammanfattning : 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 based on the likelihood function of the differenced data. LÄS MER