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Testing for seasonal unit roots in heterogeneous panels

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Otero, Jesus, Smith, Jeremy 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:
DateEvent
January 2004Published
Number: No.695
Number of Pages: 13
Institution: University of Warwick
Status: Not Peer Reviewed
Access rights to Published version: Open Access (Creative Commons)
Funder: Universidad del Rosario (UdR)

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