Testing for seasonal unit roots in heterogeneous panels

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variate

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Year of publication:	2004-08-11
Authors:	Otero, Jesus ; Smith, Jeremy
Institutions:	Econometric Society
Subject:	Heterogeneous dynamic panels \| Monte Carlo \| seasonal unit roots

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Extent:	application/pdf
Series:	Econometric Society 2004 Latin American Meetings.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Econometric Society Latin American Meetings 2004 Number 21
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005129780