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Testing for seasonal unit roots in heterogeneous panels

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Otero, Jesus, Smith, Jeremy (Jeremy P.) and Giulietti, Monica (2004) Testing for seasonal unit roots in heterogeneous panels. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.695).

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Abstract

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates.

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

Series Name:

Warwick economic research papers

Publisher:

University of Warwick, Department of Economics

Place of Publication:

Coventry

Official Date:

January 2004

Dates:

Date	Event
January 2004	Published

Number:

No.695

Number of Pages:

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

Funder:

Universidad del Rosario (UdR)

References:

Ghysels, E., Lee, H. S. and Noh, J. (1994), “Testing for unit roots in seasonal time series – some theoretical extensions and a Monte Carlo investigation”, Journal of Econometrics, 62, 415-442.
Ghysels, E. and Osborn, D. R. (2001), The econometrics analysis of seasonal time series, Cambridge University Press.
Hylleberg, S., Engle, R. F., Granger, C. W. J. and Yoo, B. S. (1990), “Seasonal integration and cointegration”, Journal of Econometrics, 69, 5-25.
Im, K. S., Pesaran, M. H. and Shin, Y. (2003), “Testing for unit roots in heterogeneous panels”, Journal of Econometrics, 115, 53-74.
Maddala, G. S. and Wu, S. (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.

URI:

http://wrap.warwick.ac.uk/id/eprint/1493

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