Panel Seasonal Unit Root Test With An Application for Unemployment Data

Hans-Eggert Reimers and Christian Dreger

No 191/2004, IWH Discussion Papers from Halle Institute for Economic Research (IWH)

Abstract: In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests are analyzed for different deterministic and dynamic specications. Evidence is presented that for a small time dimension the power is slow even for increasing cross section dimension. Therefore, it seems necessary to have a higher time dimension than cross section dimension. The new test is applied for unemployment behaviour in industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots are rejected. The null hypothesis of a unit root at the zero frequency is not rejected, thereby supporting the presence of hysteresis effects.

Keywords: Panel seasonal unit root test; IPS-approach; Unemployment data (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwhdps:iwh-191

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