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Testing for seasonal unit roots in heterogeneous panels

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Otero, Jesus, Smith, Jeremy and Giulietti, Monica (2005) Testing for seasonal unit roots in heterogeneous panels. Economics Letters, Volume 86 (Number 2). pp. 229-235. doi:10.1016/j.econlet.2004.06.018

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Official URL: http://dx.doi.org/10.1016/j.econlet.2004.06.018

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Abstract

This paper uses the approach of Im, Pesaran and Shin [Im, K.S., Pesaran, M.H., Shin, Y, 2003. Testing for unit roots in heterogeneous panels. Journal of Economics 115, 53-74.] to propose seasonal unit root tests for dynamic heterogeneous panels. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates. (C) 2004 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Social Sciences > Economics
Journal or Publication Title: Economics Letters
Publisher: Elsevier
ISSN: 0165-1765
Official Date: 2005
Dates:
DateEvent
2005Published
Volume: Volume 86
Number: Number 2
Number of Pages: 7
Page Range: pp. 229-235
DOI: 10.1016/j.econlet.2004.06.018
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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