Testing for seasonal unit roots in heterogeneous panels

Jesus Otero and Jeremy Smith

No 21, Econometric Society 2004 Latin American Meetings from Econometric Society

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 variate

Keywords: Heterogeneous dynamic panels; Monte Carlo; seasonal unit roots (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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http://repec.org/esLATM04/up.29492.1079530422.pdf (application/pdf)

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:ecm:latm04:21

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