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

Jesús Otero*, Jeremy Smith, Monica Giulietti

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)179-184
Number of pages6
JournalEconomics Letters
Volume97
Issue number2
DOIs
Publication statusPublished - 1 Nov 2007

Fingerprint

Cross-section dependence
Seasonal unit roots
Heterogeneous panels
Testing
Bootstrap method
Applied econometrics
HEGY tests
Panel unit root tests

Keywords

  • Cross-sectional dependence
  • Heterogeneous dynamic panels
  • Monte Carlo
  • Seasonal unit roots

Cite this

Otero, Jesús ; Smith, Jeremy ; Giulietti, Monica. / Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. In: Economics Letters. 2007 ; Vol. 97, No. 2. pp. 179-184.
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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 journalArticle

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