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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 (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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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:

Date	Event
September 2006	Published

Number:

No.758

Number of Pages:

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

References:

Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120, 263-293.
Hadri, K. (2000). Testing for stationarity in heterogeneous panels. The Econometrics Journal 3, 148-161.
Im, K., M. H. Pesaran, and Y. Shin (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics 115, 53-74.
Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics 54, 159-178.
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.
O'Connell, P. G. J. (1998). The overvaluation of purchasing power parity. Journal of International Economics 44, 1-19.

URI:

http://wrap.warwick.ac.uk/id/eprint/1440

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