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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. doi:10.1080/00949650701719136 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 | ||||
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Subjects: | Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics Faculty of Social Sciences > Warwick Business School > Global Energy Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Journal of Statistical Computation and Simulation | ||||
Publisher: | Taylor & Francis Ltd. | ||||
ISSN: | 0094-9655 | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.79 | ||||
Number: | No.2 | ||||
Number of Pages: | 9 | ||||
Page Range: | pp. 195-203 | ||||
DOI: | 10.1080/00949650701719136 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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