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

Monica Giulietti; Jesús Otero; Jeremy Smith

doi:10.1080/00949650701719136

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

Monica Giulietti
, Jesús Otero
, Jeremy Smith

Facultad de Economía

Producción científica: Contribución a revista › Artículo de Investigación › revisión exhaustiva

13 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	195-203
Número de páginas	9
Publicación	Journal of Statistical Computation and Simulation
Volumen	79
N.º	2
DOI	https://doi.org/10.1080/00949650701719136
Estado	Publicada - feb. 2009

Áreas temáticas de ASJC Scopus

Estadística y probabilidad
Modelización y simulación
Estadística, probabilidad e incerteza
Matemáticas aplicadas

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10.1080/00949650701719136

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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.",

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

Resumen

Áreas temáticas de ASJC Scopus

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