Testing for seasonal unit roots in heterogeneous panels

Jesus Otero; Jeremy Smith; Monica Giulietti

doi:10.1016/j.econlet.2004.06.018

Testing for seasonal unit roots in heterogeneous panels

Jesus Otero^*
, Jeremy Smith
, Monica Giulietti

^*Corresponding author for this work

Aston Business School

University of Warwick
Universidad del Rosario

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

8 Citations (Scopus)

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 language	English
Pages (from-to)	229-235
Number of pages	7
Journal	Economics Letters
Volume	86
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2004.06.018
Publication status	Published - 1 Feb 2005

Keywords

Heterogeneous dynamic panels
Seasonal unit roots

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10.1016/j.econlet.2004.06.018

Cite this

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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.",

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T1 - Testing for seasonal unit roots in heterogeneous panels

AU - Otero, Jesus

AU - Smith, Jeremy

AU - Giulietti, Monica

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N2 - 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.

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.

KW - Heterogeneous dynamic panels

KW - Seasonal unit roots

UR - https://www.scopus.com/pages/publications/12144264252

UR - https://www.sciencedirect.com/science/article/pii/S0165176504002629?via%3Dihub

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DO - 10.1016/j.econlet.2004.06.018

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SN - 0165-1765

VL - 86

SP - 229

EP - 235

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Testing for seasonal unit roots in heterogeneous panels

Abstract

Keywords

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