Abstract
The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 195-203 |
| Number of pages | 9 |
| Journal | Journal of Statistical Computation and Simulation |
| Volume | 79 |
| Issue number | 2 |
| DOIs | |
| State | Published - Feb 2009 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Modeling and Simulation
- Statistics, Probability and Uncertainty
- Applied Mathematics