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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
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: |
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| 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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