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

Jesús Otero; Jeremy Smith; Monica Giulietti

doi:10.1016/j.econlet.2007.03.002

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

Aston Business School

Research output: Contribution to journal › Article › peer-review

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	https://doi.org/10.1016/j.econlet.2007.03.002
Publication status	Published - 1 Nov 2007

Keywords

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

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10.1016/j.econlet.2007.03.002

http://wrap.warwick.ac.uk/1419/1/WRAP_Giulietti_twerp_784.pdf

Cite this

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title = "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence",

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.",

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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

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DO - 10.1016/j.econlet.2007.03.002

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EP - 184

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 2

ER -

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

Abstract

Keywords

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