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

journal

  • Economics Letters

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 [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.

publication date

  • 2007-11-1

edition

  • 97

keywords

  • Alternatives
  • Applied Econometrics
  • Bootstrap Method
  • Cross-section Dependence
  • HEGY Tests
  • Heterogeneous Panels
  • Panel Unit Root Tests
  • Seasonal Unit Roots
  • Testing

International Standard Serial Number (ISSN)

  • 0165-1765

number of pages

  • 6

start page

  • 179

end page

  • 184