Skip to main navigation Skip to search Skip to main content

Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

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

    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 languageEnglish (US)
    Pages (from-to)195-203
    Number of pages9
    JournalJournal of Statistical Computation and Simulation
    Volume79
    Issue number2
    DOIs
    StatePublished - Feb 2009

    All Science Journal Classification (ASJC) codes

    • Statistics and Probability
    • Modeling and Simulation
    • Statistics, Probability and Uncertainty
    • Applied Mathematics

    Fingerprint

    Dive into the research topics of 'Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence'. Together they form a unique fingerprint.

    Cite this