Testing for seasonal unit roots in heterogeneous panels

Jesus Otero*, Jeremy Smith, Monica Giulietti

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

This paper uses the approach of Im, Pesaran and Shin [Im, K.S., Pesaran, M.H., Shin, Y., 2003. Testing for unit roots in heterogeneous panels. Journal of Economics 115, 53-74.] to propose seasonal unit root tests for dynamic heterogeneous panels. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates.

Original languageEnglish
Pages (from-to)229-235
Number of pages7
JournalEconomics Letters
Volume86
Issue number2
DOIs
Publication statusPublished - 1 Feb 2005

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Statistics
Seasonal unit roots
Heterogeneous panels
Testing
Economics
Heterogeneous dynamic panels
HEGY tests
Seasonal unit root tests
Unit root

Keywords

  • Heterogeneous dynamic panels
  • Seasonal unit roots

Cite this

Otero, Jesus ; Smith, Jeremy ; Giulietti, Monica. / Testing for seasonal unit roots in heterogeneous panels. In: Economics Letters. 2005 ; Vol. 86, No. 2. pp. 229-235.
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Testing for seasonal unit roots in heterogeneous panels. / Otero, Jesus; Smith, Jeremy; Giulietti, Monica.

In: Economics Letters, Vol. 86, No. 2, 01.02.2005, p. 229-235.

Research output: Contribution to journalArticle

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AB - This paper uses the approach of Im, Pesaran and Shin [Im, K.S., Pesaran, M.H., Shin, Y., 2003. Testing for unit roots in heterogeneous panels. Journal of Economics 115, 53-74.] to propose seasonal unit root tests for dynamic heterogeneous panels. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates.

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