In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests...

We explore the long and short run relationship between private consumption, disposable income and housing and financial wealth approximated by price indices for a panel of industrialized countries. Consumption, income and wealth are cointegrated in their common, but not in their idiosyncratic...

Institut für Wirtschaftsforschung Halle Halle Institute for Economic Research Das Institut für Wirtschaftsforschung Halle ist Mitglied der Leibniz-Gemeinschaft Panel Seasonal Unit Root Test With An Application for Unemployment Data Christian Dreger Hans-Eggert Reimers Juli 2004 Nr....

We explore the long and short run relationship between private consumption, disposable income and housing and financial wealth approximated by price indices for a panel of industrialized countries. Consumption, income and wealth are cointegrated in their common, but not in their idiosyncratic...