Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence
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More about this item
Keywords
Panel unit root tests ; seasonal unit roots ; monthly data ; cross sectional dependence ; Monte Carlo;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2008-09-20 (All new papers)
- NEP-ECM-2008-09-20 (Econometrics)
- NEP-ETS-2008-09-20 (Econometric Time Series)
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