Testing for seasonal unit roots in heterogeneous panels

被引：8

作者：

Otero, J

Smith, J

Giulietti, M

机构：

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

[2] Univ Warwick, Dept Econ, Warwick, England

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

来源：

ECONOMICS LETTERS | 2005年 / 86卷 / 02期

关键词：

heterogeneous dynamic panels; seasonal unit roots;

D O I：

10.1016/j.econlet.2004.06.018

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper uses the approach of Im, Pesaran and Shin [Im, K.S., Pesaran, M.H., Shin, Y, 2003. Testing for unit roots in heterogeneous panels. Journal of Economics 115, 53-74.] to propose seasonal unit root tests for dynamic heterogeneous panels. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：229 / 235

页数：7

共 3 条

[1] TESTING FOR UNIT ROOTS IN SEASONAL TIME-SERIES - SOME THEORETICAL EXTENSIONS AND A MONTE-CARLO INVESTIGATION [J].