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 |
Keywords
- Cross-sectional dependence
- Heterogeneous dynamic panels
- Monte Carlo
- Seasonal unit roots
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Cite this
Otero, J., Smith, J., & Giulietti, M. (2007). Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence. Economics Letters, 97(2), 179-184. https://doi.org/10.1016/j.econlet.2007.03.002