Testing for stationarity in heterogeneous panel data in the presence of cross section dependence
The panel variant of the KPSS tests developed by Hadri (2000) for the null of stationarity suffers from size distortions in the presence of cross section dependence. However, applying the bootstrap methodology we find that these tests are approximately correctly sized.
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2000-01, Rice University, Department of Economics.
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1999_04, University of Liverpool Management School.
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