Testing for seasonal unit roots in heterogeneous panels 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: This paper presents two alternative methods for modifying the HEGY-IPS test in the presence of cross-sectional dependency. In general, the bootstrap method (BHEGY-IPS) has greater power than the method suggested by Pesaran (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.

Keywords: Heterogeneous dynamic panels; Monte Carlo; seasonal unit roots; cross sectional dependence (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Journal Article: Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:784

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