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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Abstract

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
Date:	January 2007
Number:	No.784
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Status:	Not Peer Reviewed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.
URI:	http://wrap.warwick.ac.uk/id/eprint/1419

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