Testing for seasonal unit roots in heterogeneous panels

Jesus Otero, Jeremy Smith, Monica Giulietti

Research output: Contribution to journalResearch Articlepeer-review

8 Scopus citations


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 languageEnglish (US)
Pages (from-to)229-235
Number of pages7
JournalEconomics Letters
Issue number2
StatePublished - Feb 2005

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Testing for seasonal unit roots in heterogeneous panels'. Together they form a unique fingerprint.

Cite this