Testing for seasonal unit roots in heterogeneous panels

"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...

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Detalles Bibliográficos
Autores Principales: Otero J., Smith J., Giulietti M.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2005
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23899
https://doi.org/10.1016/j.econlet.2004.06.018
Descripción
Sumario:"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."