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Testing for Seasonal Unit Roots in Heterogeneous Panels

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  • Otero, Jesus

    (Facultad de Economía, Universidad del Rosario)

  • Smith, Jeremy

    (Department of Economics, University of Warwick)

  • Giulietti, Monica

    (Aston Business School, University of Aston)

Abstract

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp695.pdf
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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 695.

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Length: 13 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:wrk:warwec:695

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Keywords: Heterogeneous dynamic panels ; Monte Carlo ; seasonal unit roots;

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References

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  1. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 415-442, June.
  2. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9526, Faculty of Economics, University of Cambridge.
  3. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers, Pennsylvania State - Department of Economics 6-88-2, Pennsylvania State - Department of Economics.
  4. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  5. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521565882.
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Citations

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Cited by:
  1. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2009. "International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence," CESifo Working Paper Series 2819, CESifo Group Munich.
  2. Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 784, University of Warwick, Department of Economics.
  3. Christophe RAULT & Guglielmo Maria CAPORALE & Thouraya HADJ AMOR, 2009. "International Financial Integration And Real Exchange Rate Long-Run Dynamics In Emerging Countries," William Davidson Institute Working Papers Series wp970, William Davidson Institute at the University of Michigan.
  4. Otero, Jesús & Smith, Jeremy & Giulietti, Monica, 2008. "Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 865, University of Warwick, Department of Economics.
  5. Robert M. Kunst & Philip Hans Franses, 2011. "Testing for Seasonal Unit Roots in Monthly Panels of Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 469-488, 08.
  6. Ucar, Nuri & Guler, Huseyin, 2010. "Testing stochastic income convergence in seasonal heterogeneous panels," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 422-431, January.
  7. Ho, Tsung-wu, 2008. "Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator," Economics Letters, Elsevier, Elsevier, vol. 99(2), pages 314-316, May.

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