Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

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 (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.

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Year of publication:	2007
Authors:	Giulietti, Monica ; Otero, Jesus ; Smith, Jeremy
Institutions:	Department of Economics, University of Warwick
Subject:	Heterogeneous dynamic panels \| Monte Carlo \| seasonal unit roots \| cross sectional dependence

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Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Language:	English
Notes:	8 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005146864