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

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  • Giulietti, Monica

    (Aston Business School)

  • Otero, Jesus

    (Universidad del Rosario, Colombia)

  • Smith, Jeremy

    (University of Warwick)

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/workingpapers/2008/twerp_784.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 784.

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

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

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  1. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  2. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  3. Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Cowles Foundation Discussion Papers 1251, Cowles Foundation for Research in Economics, Yale University.
  4. 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, vol. 62(2), pages 415-442, June.
  5. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2004. "Testing for Seasonal Unit Roots in Heterogeneous Panels," The Warwick Economics Research Paper Series (TWERPS) 695, University of Warwick, Department of Economics.
  6. 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.
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Cited by:
  1. 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) 865, University of Warwick, Department of Economics.
  2. 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.

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