Testing for stationarity in heterogeneous panel data in the presence of cross section dependence

The panel variant of the KPSS tests developed by Hadri (2000) 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.

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Year of publication:	2006
Authors:	Giulietti, Monica ; Otero, Jesus ; Smith, Jeremy
Institutions:	Department of Economics, University of Warwick
Subject:	Heterogeneous dynamic panels \| Monte Carlo \| bootstrap \| unit root tests \| cross section dependence

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Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Language:	English
Notes:	9 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/10005747133