Testing for seasonal unit roots in heterogeneous panels

Jesus Otero; Jeremy Smith; Monica Giulietti

doi:10.1016/j.econlet.2004.06.018

Testing for seasonal unit roots in heterogeneous panels

Jesus Otero
, Jeremy Smith
, Monica Giulietti

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

8 Scopus citations

Abstract

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 language	English (US)
Pages (from-to)	229-235
Number of pages	7
Journal	Economics Letters
Volume	86
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2004.06.018
State	Published - Feb 2005

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2004.06.018

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title = "Testing for seasonal unit roots in heterogeneous panels",

abstract = "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.",

author = "Jesus Otero and Jeremy Smith and Monica Giulietti",

note = "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.",

year = "2005",

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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.

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UR - https://www.scopus.com/pages/publications/12144264252#tab=citedBy

U2 - 10.1016/j.econlet.2004.06.018

DO - 10.1016/j.econlet.2004.06.018

M3 - Research Article

AN - SCOPUS:12144264252

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VL - 86

SP - 229

EP - 235

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Testing for seasonal unit roots in heterogeneous panels

Abstract

All Science Journal Classification (ASJC) codes

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