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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"Testing for seasonal unit roots in heterogeneous panels,"
Elsevier, vol. 86(2), pages 229-235, February.
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0-88-2, Pennsylvania State - Department of Economics.
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Econometric Society World Congress 2000 Contributed Papers
1585, Econometric Society.
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- 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.
- 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.
- 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.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
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Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
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