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Testing for stationarity in heterogeneous panel data in the presence of cross section dependence

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Giulietti, Monica, Otero, Jesus and Smith, Jeremy (2006) Testing for stationarity in heterogeneous panel data in the presence of cross section dependence. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.758).

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Abstract

The panel variant of the KPSS tests developed by Hadri (2000) for the null of stationarity suffers from size distortions in the presence of cross section dependence. However, applying the bootstrap methodology we find that these tests are approximately correctly sized.

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, Bootstrap (Statistics)
Series Name: Warwick economic research papers
Publisher: University of Warwick, Department of Economics
Place of Publication: Coventry
Official Date: September 2006
Dates:
DateEvent
September 2006Published
Number: No.758
Number of Pages: 9
Institution: University of Warwick
Status: Not Peer Reviewed
Access rights to Published version: Open Access

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