Ítem
Solo Metadatos
Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
Título de la revista
Autores
Giulietti, Monica
Otero Cardona, Jesús Gilberto
Smith, Jeremy
Resumen
Abstract
The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.
Palabras clave
Keywords
Bootstrap , Cross-section dependence , Heterogeneous dynamic panels , Monte Carlo , Unit root tests
