IDEAS home Printed from https://ideas.repec.org/p/ags/uwarer/269863.html
   My bibliography  Save this paper

Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence

Author

Listed:
  • Otero, Jesus
  • Smith, Jeremy
  • Giulietti, Monica

Abstract

This paper generalises the monthly seasonal unit root tests of Franses (1991) for a heterogeneous panel following the work of Im, Pesaran, and Shin (2003), which we refer to as the F-IPS tests. The paper presents the mean and variance necessary to yield a standard normal distribution for the tests, for di§erent number of time observations, T, and lag lengths. However, these tests are only applicable in the absence of cross-sectional dependence. Two alternative methods for modifying these F-IPS tests in the presence of cross-sectional dependency are presented: the Örst is the cross-sectionally augmented test, denoted CF-IPS, following Pesaran (2007), the other is a bootstap method, denoted BF-IPS. In general, the BF-IPS tests have greater power than the CF-IPS tests, although for large T and high degree of cross-sectional dependency the CF-IPS test dominates the BF-IPS test.

Suggested Citation

  • Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2008. "Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence," Economic Research Papers 269863, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:269863
    DOI: 10.22004/ag.econ.269863
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/269863/files/twerp_865.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/269863/files/twerp_865.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.269863?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
    2. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," Economics Letters, Elsevier, vol. 97(2), pages 179-184, November.
    3. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
    4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    5. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2005. "Testing for seasonal unit roots in heterogeneous panels," Economics Letters, Elsevier, vol. 86(2), pages 229-235, February.
    6. Chang, Yoosoon, 2004. "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
    7. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
    8. Christian Dreger* & Hans-Eggert Reimers, 2005. "Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 89(3), pages 321-337, August.
    9. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, January.
    10. 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.
    11. 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 631-652, Special I.
    12. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 24(1), pages 25-48.
    13. G. S. Maddala & Shaowen Wu, 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(S1), pages 631-652, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hsu Shih-Hsun, 2021. "Disentangling the source of non-stationarity in a panel of seasonal data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-18, February.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hsu Shih-Hsun, 2021. "Disentangling the source of non-stationarity in a panel of seasonal data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-18, February.
    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, August.
    3. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2007. "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," Economics Letters, Elsevier, vol. 97(2), pages 179-184, November.
    4. Ucar, Nuri & Guler, Huseyin, 2010. "Testing stochastic income convergence in seasonal heterogeneous panels," Economic Modelling, Elsevier, vol. 27(1), pages 422-431, January.
    5. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, June.
    6. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2011. "Cross-sectional dependence robust block bootstrap panel unit root tests," Journal of Econometrics, Elsevier, vol. 163(1), pages 85-104, July.
    7. Christoph Hanck, 2013. "An Intersection Test for Panel Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 183-203, February.
    8. Ana Iregui & Jesús Otero, 2011. "Testing the law of one price in food markets: evidence for Colombia using disaggregated data," Empirical Economics, Springer, vol. 40(2), pages 269-284, April.
    9. Valérie Mignon & Christophe Hurlin, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Économie et Prévision, Programme National Persée, vol. 169(3), pages 253-294.
    10. Otero, Jesus & Smith, Jeremy & Giulietti, Monica, 2005. "Testing for seasonal unit roots in heterogeneous panels," Economics Letters, Elsevier, vol. 86(2), pages 229-235, February.
    11. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "Real interest parity: A note on Asian countries using panel stationarity tests," Journal of Asian Economics, Elsevier, vol. 22(6), pages 550-557.
    12. Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2015. "Nonparametric rank tests for non-stationary panels," Journal of Econometrics, Elsevier, vol. 185(2), pages 378-391.
    13. Damette, Olivier & Seghir, Majda, 2013. "Energy as a driver of growth in oil exporting countries?," Energy Economics, Elsevier, vol. 37(C), pages 193-199.
    14. Cushman, David O. & Michael, Nils, 2011. "Nonlinear trends in real exchange rates: A panel unit root test approach," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1619-1637.
    15. Christophe Hurlin, 2010. "What would Nelson and Plosser find had they used panel unit root tests?," Applied Economics, Taylor & Francis Journals, vol. 42(12), pages 1515-1531.
    16. Chang, Yoosoon, 2012. "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, vol. 169(1), pages 15-28.
    17. Su-Yin Cheng & Jong-Shin Wei & Han Hou, 2008. "A Cointegration Analysis of Purchasing Power Parity and Country Risk," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 199-211, December.
    18. Jian Xue & Zeeshan Rasool & Raima Nazar & Ahmad Imran Khan & Shaukat Hussain Bhatti & Sajid Ali, 2021. "Revisiting Natural Resources—Globalization-Environmental Quality Nexus: Fresh Insights from South Asian Countries," Sustainability, MDPI, vol. 13(8), pages 1-19, April.
    19. Lau, Marco Chi Keung & Fung, Ka Wai Terence, 2013. "Convergence in Health Care Expenditure of 14 EU Countries: New Evidence from Non-linear Panel Unit Root Test," MPRA Paper 52871, University Library of Munich, Germany.
    20. Menegaki, Angeliki N. & Ozturk, Ilhan, 2013. "Growth and energy nexus in Europe revisited: Evidence from a fixed effects political economy model," Energy Policy, Elsevier, vol. 61(C), pages 881-887.

    More about this item

    Keywords

    Agricultural and Food Policy; Research Methods/ Statistical Methods;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uwarer:269863. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.