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

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

doi:https://doi.org/10.1016/j.econlet.2007.03.002

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

https://repository.urosario.edu.co/handle/10336/23900
https://doi.org/10.1016/j.econlet.2007.03.002

Autores

Otero Cardona, Jesús Gilberto

Smith, Jeremy

Giulietti, Monica

Fecha

2007

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Métricas alternativas

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. © 2007 Elsevier B.V. All rights reserved.