Testing for seasonal unit roots in heterogeneous panels

Jesus Otero, Jeremy Smith and Monica Giulietti

No 269589, Economic Research Papers from University of Warwick - Department of Economics

Abstract: This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates.

Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 13
Date: 2004-01-01
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Related works:
Journal Article: Testing for seasonal unit roots in heterogeneous panels (2005)
Working Paper: Testing for seasonal unit roots in heterogeneous panels (2004)
Working Paper: Testing for Seasonal Unit Roots in Heterogeneous Panels (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:269589

DOI: 10.22004/ag.econ.269589

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