Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
Giulietti, Monica, Otero, Jesus and Smith, Jeremy. (2009) Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence. Journal of Statistical Computation and Simulation, Vol.79 (No.2). pp. 195-203. ISSN 0094-9655Full text not available from this repository.
Official URL: http://dx.doi.org/10.1080/00949650701719136
The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] 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:||Journal Article|
|Subjects:||Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software
Q Science > QA Mathematics
|Divisions:||Faculty of Social Sciences > Economics
Faculty of Social Sciences > Warwick Business School > Global Energy
Faculty of Social Sciences > Warwick Business School
|Journal or Publication Title:||Journal of Statistical Computation and Simulation|
|Publisher:||Taylor & Francis Ltd.|
|Number of Pages:||9|
|Page Range:||pp. 195-203|
|Access rights to Published version:||Restricted or Subscription Access|
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