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;
  • Publisher: University of Warwick, Department of Economics
  • Subject: HB

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 hi... View more
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