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

"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...

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Autores Principales: "Otero, Jesús, Smith, Jeremy, Giulietti, Monica"
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2007
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23900
https://doi.org/10.1016/j.econlet.2007.03.002
id ir-10336-23900
recordtype dspace
spelling ir-10336-239002020-06-03T22:15:15Z Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence "Otero, Jesús Smith, Jeremy Giulietti, Monica" Cross-sectional dependence Heterogeneous dynamic panels Monte Carlo Seasonal unit roots "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." 2007 2020-05-26T00:06:30Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1651765 https://repository.urosario.edu.co/handle/10336/23900 https://doi.org/10.1016/j.econlet.2007.03.002 eng info:eu-repo/semantics/openAccess application/pdf instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Cross-sectional dependence
Heterogeneous dynamic panels
Monte Carlo
Seasonal unit roots
spellingShingle Cross-sectional dependence
Heterogeneous dynamic panels
Monte Carlo
Seasonal unit roots
"Otero, Jesús
Smith, Jeremy
Giulietti, Monica"
Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
description "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."
format Artículo (Article)
author "Otero, Jesús
Smith, Jeremy
Giulietti, Monica"
author_facet "Otero, Jesús
Smith, Jeremy
Giulietti, Monica"
author_sort "Otero, Jesús
title Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
title_short Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
title_full Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
title_fullStr Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
title_full_unstemmed Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
title_sort testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
publishDate 2007
url https://repository.urosario.edu.co/handle/10336/23900
https://doi.org/10.1016/j.econlet.2007.03.002
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