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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. (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 0094-9655
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Official URL: http://dx.doi.org/10.1080/00949650701719136
Abstract
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. |
| ISSN: | 0094-9655 |
| Date: | 2009 |
| Volume: | Vol.79 |
| Number: | No.2 |
| Number of Pages: | 9 |
| Page Range: | pp. 195-203 |
| Identification Number: | 10.1080/00949650701719136 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/28905 |
Data sourced from Thomson Reuters' Web of Knowledge
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