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

Jesús Otero, Jeremy Smith, Monica Giulietti

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)179-184
Number of pages6
JournalEconomics Letters
Volume97
Issue number2
DOIs
StatePublished - Nov 2007

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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