Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
Otero, Jesus, Smith, Jeremy (Jeremy P.) and Giulietti, Monica (2007) Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. Working Paper. Coventry: University of Warwick, Department of Economics. (Warwick economic research papers.
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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.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HB Economic Theory|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Panel analysis, Monte Carlo method, Statistical hypothesis testing, Economics -- Simulation methods, Time-series analysis|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Number of Pages:||8|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Universidad del Rosario (UdR)|
|References:||Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120, 263�293. Dreger, C. and Reimers, H.-E. (2005). Panel seasonal unit root tests: Further simulation results and an application to unemployment data. Allgemeines Statistisches Archiv 89, 321-337. Ghysels, E., H. S. Lee, and J. Noh (1994). Testing for unit roots in seasonal time series - Some theoretical extensions and a Monte Carlo investigation. Journal of Econometrics 62, 415�442. Hylleberg, S., R. F. Engle, C. W. J. Granger, and B. S. Yoo (1990). Seasonal integration and cointegration. Journal of Econometrics 44, 215�238. Im, K., M. H. Pesaran, and Y. Shin (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics 115, 53�74. Li, H. and G. S. Maddala (1996). Bootstrapping time series models. Econometric Reviews 15, 115�195. Maddala, G. S. and S. Wu (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics 61, 631�652. Otero, J., J. Smith, and M. Giulietti (2005). Testing for seasonal unit roots in heterogeneous panels. Economics Letters 86, 229�235. Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics, forthcoming.|
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