Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
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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The Warwick Economics Research Paper Series (TWERPS)
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Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
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