Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

Otero, Jesús, Smith, Jeremy and Giulietti, Monica (2007). Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. Economics Letters, 97 (2), pp. 179-184.

Abstract

This paper presents two alternative methods for modifying the HEGY-IPS test in the presence of cross-sectional dependency. In general, the bootstrap method (BHEGY-IPS) has greater power than the method suggested by Pesaran [Pesaran, M.H. (2007). A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics, forthcoming.] (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.

Publication DOI: https://doi.org/10.1016/j.econlet.2007.03.002
Divisions: Aston Business School
Uncontrolled Keywords: Cross-sectional dependence,Heterogeneous dynamic panels,Monte Carlo,Seasonal unit roots,Economics and Econometrics,Finance
Full Text Link: http://wrap.war ... i_twerp_784.pdf
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2007-11-01
Authors: Otero, Jesús
Smith, Jeremy
Giulietti, Monica

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