Otero, Jesus, Smith, Jeremy and Giulietti, Monica (2007) Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. Economics Letters, Vol.97 (No.2). pp. 179-184. doi:10.1016/j.econlet.2007.03.002 ISSN 0165-1765.

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Abstract

This paper presents two alternative methods for modifying the HEGY-IPS test in the presence of cross-sectional dependency. In general, the bootstrap method (BHEGY-IPS) has greater power than the method suggested by Pesaran [Pesaran, M.H. (2007). A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics, forthcoming.] (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions
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:	Economics Letters
Publisher:	Elsevier
ISSN:	0165-1765
Official Date:	November 2007
Dates:	Date Event November 2007 Published
Volume:	Vol.97
Number:	No.2
Number of Pages:	6
Page Range:	pp. 179-184
DOI:	10.1016/j.econlet.2007.03.002
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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