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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence Author info | Abstract | Publisher info | Download info | Related research | Statistics Giulietti, Monica (Aston Business School)
Otero, Jesus (Universidad del Rosario, Colombia)
Smith, Jeremy (University of Warwick)
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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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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: 2007Date of revision:
Handle: RePEc:wrk:warwec:784Contact details of provider: Postal: CV4 7AL COVENTRY Phone: +44 (0) 2476 523202 Fax: +44 (0) 2476 523032 Web page: http://www2.warwick.ac.uk/fac/soc/economics/research/papers/ More information through EDIRC
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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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