Testing for Seasonal Unit Roots in Heterogeneous Panels

Jesus Otero, Jeremy Smith and Monica Giulietti

The Warwick Economics Research Paper Series (TWERPS) 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: Heterogeneous dynamic panels; Monte Carlo; seasonal unit roots (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp695.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:wrk:warwec:695

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