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

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Otero, Jesus ; Smith, Jeremy ; Giulietti, Monica (2007)
  • Publisher: University of Warwick, Department of Economics
  • Subject: HB
    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.
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    Otero, J., J. Smith, and M. Giulietti (2005). Testing for seasonal unit roots in heterogeneous panels.

    Economics Letters 86, 229–235.

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