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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).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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 |
| Date: | September 2006 |
| Number: | No.758 |
| Number of Pages: | 9 |
| Status: | Not Peer Reviewed |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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