Testing for seasonal unit roots in heterogeneous panels Academic Article

• Doi

•  
• Overview
•  
• Research
•  
• Identity
•  
• Additional Document Info
•  
• View All
•  

Overview

journal

• Economics Letters

abstract

• 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.

authors

• Otero Cardona, Jesús Gilberto
• Jeremy Smith
• Monica Giulietti

publication date

• 2005-2-1

edition

• 86

Research

keywords

• Economics
• HEGY Tests
• Heterogeneous Dynamic Panels
• Heterogeneous Panels
• Seasonal Unit Root Tests
• Seasonal Unit Roots
• Statistics
• Testing
• Unit Root

Identity

International Standard Serial Number (ISSN)

• 0165-1765

Digital Object Identifier (DOI)

• https://doi.org/10.1016/j.econlet.2004.06.018

Additional Document Info

number of pages

• 7

start page

• 229

end page

• 235