Testing for seasonal unit roots in heterogeneous panels
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 variate
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"Testing for unit roots in heterogeneous panels,"
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Cambridge University Press, number 9780521562607, September.
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