Testing for stationarity in heterogeneous panel data in the presence of cross section dependence
Giulietti, Monica, Otero, Jesus and Smith, Jeremy (Jeremy P.) (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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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|
|Number of Pages:||9|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120, 263-293.
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