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 (No.784).
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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|
|Official Date:||January 2007|
|Number of Pages:||8|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Universidad del Rosario (UdR)|
Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120, 263-293.
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