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

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Author Info
Giulietti, Monica (Aston Business School)
Otero, Jesus (Universidad del Rosario, Colombia)
Smith, Jeremy (University of Warwick)

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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 (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/papers/twerp_784.pdf
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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 784.

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Length: 8 pages
Date of creation: 2007
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Handle: RePEc:wrk:warwec:784

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Related research
Keywords: Heterogeneous dynamic panels Monte Carlo seasonal unit roots cross sectional dependence

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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This page was last updated on 2008-8-18.

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