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

Monica Giulietti, Jesus Otero and Jeremy Smith

No 269651, Economic Research Papers from University of Warwick - Department of Economics

Abstract: The panel variant of the KPSS tests developed by Hadri (2000) for the null of stationarity su§ers from size distortions in the presence of cross section dependence. However, applying the bootstrap methodology we find that these tests are approximately correctly sized.

Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 9
Date: 2006-09-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://ageconsearch.umn.edu/record/269651/files/twerp_758.pdf (application/pdf)
https://ageconsearch.umn.edu/record/269651/files/twerp_758.pdf?subformat=pdfa (application/pdf)

Related works:
Working Paper: Testing for stationarity in heterogeneous panel data in the presence of cross section dependence (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:269651

DOI: 10.22004/ag.econ.269651

Access Statistics for this paper

More papers in Economic Research Papers from University of Warwick - Department of Economics
Bibliographic data for series maintained by AgEcon Search ().