TY - JOUR
T1 - Testing for seasonal unit roots in heterogeneous panels
AU - Otero, Jesus
AU - Smith, Jeremy
AU - Giulietti, Monica
N1 - Funding Information:
This paper was started while the first author was a visiting research fellow in the Department of Economics at the University of Warwick. The first author would like to thank the Universidad del Rosario for its financial assistance.
PY - 2005/2
Y1 - 2005/2
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.
UR - http://www.scopus.com/inward/record.url?scp=12144264252&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=12144264252&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2004.06.018
DO - 10.1016/j.econlet.2004.06.018
M3 - Article
AN - SCOPUS:12144264252
SN - 0165-1765
VL - 86
SP - 229
EP - 235
JO - Economics Letters
JF - Economics Letters
IS - 2
ER -