Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

Giulietti, Monica, Otero, Jesús and Smith, Jeremy (2009). Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence. Journal of Statistical Computation and Simulation, 79 (2), pp. 195-203.

Abstract

The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.

Publication DOI: https://doi.org/10.1080/00949650701719136
Divisions: Aston Business School > Economics, Finance & Entrepreneurship
Uncontrolled Keywords: bootstrap,cross-section dependence,heterogeneous dynamic panels,Monte Carlo,unit root tests,Statistics, Probability and Uncertainty,Applied Mathematics,Modelling and Simulation,Statistics and Probability
Full Text Link: http://wrap.war ... i_twerp_758.pdf
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2009
Authors: Giulietti, Monica
Otero, Jesús
Smith, Jeremy

Export / Share Citation


Statistics

Additional statistics for this record