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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
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Otero, Jesus, Smith, Jeremy 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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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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) | ||||
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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 | ||||
Dates: |
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Number: | No.784 | ||||
Number of Pages: | 8 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Universidad del Rosario (UdR) |
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