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

Facultad de Economía

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

3 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	179-184
Número de páginas	6
Publicación	Economics Letters
Volumen	97
N.º	2
DOI	https://doi.org/10.1016/j.econlet.2007.03.002
Estado	Publicada - nov. 2007

Áreas temáticas de ASJC Scopus

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Economía y econometría

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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.",

author = "Jes{\'u}s Otero and Jeremy Smith and Monica Giulietti",

year = "2007",

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

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