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.
| Original language | English |
|---|---|
| Pages (from-to) | 179-184 |
| Number of pages | 6 |
| Journal | Economics Letters |
| Volume | 97 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Nov 2007 |
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Keywords
- Cross-sectional dependence
- Heterogeneous dynamic panels
- Monte Carlo
- Seasonal unit roots
Cite this
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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. / Otero, Jesús; Smith, Jeremy; Giulietti, Monica.
In: Economics Letters, Vol. 97, No. 2, 01.11.2007, p. 179-184.Research output: Contribution to journal › Article
TY - JOUR
T1 - Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
AU - Otero, Jesús
AU - Smith, Jeremy
AU - Giulietti, Monica
PY - 2007/11/1
Y1 - 2007/11/1
N2 - 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.
AB - 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.
KW - Cross-sectional dependence
KW - Heterogeneous dynamic panels
KW - Monte Carlo
KW - Seasonal unit roots
UR - http://www.scopus.com/inward/record.url?scp=34548495788&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2007.03.002
DO - 10.1016/j.econlet.2007.03.002
M3 - Article
AN - SCOPUS:34548495788
VL - 97
SP - 179
EP - 184
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 2
ER -