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Testing for seasonal unit roots in heterogeneous panels

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Date
2005
Author
Otero J.
Smith J.
Giulietti M.
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Citation
URI
https://doi.org/10.1016/j.econlet.2004.06.018
https://repository.urosario.edu.co/handle/10336/23899

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. © 2004 Elsevier B.V. All rights reserved."

Keyword

Heterogeneous dynamic panels ; Seasonal unit roots ;

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https://www.scopus.com/inward/record.uri?eid=2-s2.0-12144264252&doi=10.1016%2fj....

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