Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

Jesús Otero; Jeremy Smith; Monica Giulietti

doi:10.1016/j.econlet.2007.03.002

Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

Jesús Otero, Jeremy Smith, Monica Giulietti

Faculty of Economics

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

3 Scopus citations

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 (US)
Pages (from-to)	179-184
Number of pages	6
Journal	Economics Letters
Volume	97
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2007.03.002
State	Published - Nov 2007

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2007.03.002

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title = "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence",

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.",

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AU - Otero, Jesús

AU - Smith, Jeremy

AU - Giulietti, Monica

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N2 - 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.

AB - 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.

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SP - 179

EP - 184

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

Abstract

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