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

Monica Giulietti, Jesus Otero and Jeremy Smith

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: The panel variant of the KPSS tests developed by Hadri (2000) for the null of stationarity suffers 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: Heterogeneous dynamic panels; Monte Carlo; bootstrap; unit root tests; cross section dependence. (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2006
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Working Paper: Testing for stationarity in heterogeneous panel data in the presence of cross section dependence (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:758

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