Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

Monica Giulietti; Jesús Otero; Jeremy Smith

doi:10.1080/00949650701719136

Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

Monica Giulietti
, Jesús Otero
, Jeremy Smith^*

^*Corresponding author for this work

Economics and International Business

University of Warwick
Universidad del Rosario

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

13 Citations (Scopus)

Abstract

The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.

Original language	English
Pages (from-to)	195-203
Number of pages	9
Journal	Journal of Statistical Computation and Simulation
Volume	79
Issue number	2
Early online date	5 Dec 2008
DOIs	https://doi.org/10.1080/00949650701719136
Publication status	Published - 2009

Keywords

bootstrap
cross-section dependence
heterogeneous dynamic panels
Monte Carlo
unit root tests

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10.1080/00949650701719136

http://wrap.warwick.ac.uk/1440/1/WRAP_Giulietti_twerp_758.pdf

Cite this

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title = "Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence",

abstract = "The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.",

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AU - Otero, Jesús

AU - Smith, Jeremy

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N2 - The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.

AB - The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.

KW - bootstrap

KW - cross-section dependence

KW - heterogeneous dynamic panels

KW - Monte Carlo

KW - unit root tests

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UR - https://www.scopus.com/pages/publications/57349147666

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Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

Abstract

Keywords

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