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 cross...

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Autores:

Tipo de recurso:

Fecha de publicación:

2007

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23900

Acceso en línea:

https://doi.org/10.1016/j.econlet.2007.03.002
https://repository.urosario.edu.co/handle/10336/23900

Palabra clave:

Cross-sectional dependence
Heterogeneous dynamic panels
Monte Carlo
Seasonal unit roots

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