Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

被引：7

作者：

Otero, Jesus

Smith, Jeremy

Giulietti, Monica

机构：

[1] Univ Rosario, Fac Econ, Bogota, Colombia

[2] Univ Warwick, Dept Econ, Coventry CV4 7AL, W Midlands, England

[3] Aston Univ, Aston Business Sch, Birmingham B4 7ET, W Midlands, England

来源：

ECONOMICS LETTERS | 2007年 / 97卷 / 02期

基金：

英国经济与社会研究理事会;

关键词：

heterogeneous dynamic panels; Monte Carlo; seasonal unit roots; cross-sectional dependence;

D O I：

10.1016/j.econlet.2007.03.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 [Pesaran, M.H. (2007). A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics, forthcoming.] (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：179 / 184

页数：6

共 7 条

[1] Bootstrap unit root tests in panels with cross-sectional dependency [J].