Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
- Publisher: University of Warwick, Department of Economics
acm: Hardware_REGISTER-TRANSFER-LEVELIMPLEMENTATION | Hardware_LOGICDESIGN | Hardware_PERFORMANCEANDRELIABILITY | ComputingMilieux_LEGALASPECTSOFCOMPUTING
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 (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.