EconPapers    
Economics at your fingertips  
 

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)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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) Downloads
Working Paper: Testing for seasonal unit roots in heterogeneous panels (2004) Downloads
Working Paper: Testing for seasonal unit roots in heterogeneous panels (2004) Downloads
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:wrk:warwec:695

Access Statistics for this paper

More papers in The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().

 
Page updated 2019-08-12
Handle: RePEc:wrk:warwec:695