Panel versus GARCH information in unit root testing with an application to financial markets

Joakim Westerlund, Paresh Narayan

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)


In a search for more powerful unit root tests, some researchers have recently proposed accounting for the information contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made them quite uncommon in the empirical literature. A computationally attractive alternative is to account not for GARCH but the information contained in a panel of multiple time series. The purpose of the current note is to compare the relative power achievable from these two information sources.

Original languageEnglish
Pages (from-to)173-176
Number of pages4
JournalEconomic Modelling
Publication statusPublished - Aug 2014
Externally publishedYes


  • Panel data
  • Unit root tests

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