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


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)
PURE Output Type: Article
Published Date: 2009
Published Online Date: 2008-12-05
Submitted Date: 2006-12-04
Authors: Giulietti, Monica
Otero, Jesús
Smith, Jeremy

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