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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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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network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 79242814600ed53a3e2-2b2c-46a6-a77d-51e23954fa8f-1a77e4982-67ef-4241-a60f-93f241ebcd9f-12020-05-26T00:06:30Z2020-05-26T00:06:30Z2007This 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.application/pdfhttps://doi.org/10.1016/j.econlet.2007.03.0021651765https://repository.urosario.edu.co/handle/10336/23900eng184No. 2179Economics LettersVol. 97Economics Letters, ISSN:1651765, Vol.97, No.2 (2007); pp. 179-184https://www.scopus.com/inward/record.uri?eid=2-s2.0-34548495788&doi=10.1016%2fj.econlet.2007.03.002&partnerID=40&md5=acc7ddcbca29e4be57cf2212d8750719Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCross-sectional dependenceHeterogeneous dynamic panelsMonte CarloSeasonal unit rootsTesting for seasonal unit roots in heterogeneous panels in the presence of cross section dependencearticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Otero Cardona, Jesús GilbertoSmith, JeremyGiulietti, Monica10336/23900oai:repository.urosario.edu.co:10336/239002022-05-02 07:37:14.836264https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
title Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
spellingShingle Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
Cross-sectional dependence
Heterogeneous dynamic panels
Monte Carlo
Seasonal unit roots
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
dc.subject.keyword.spa.fl_str_mv Cross-sectional dependence
Heterogeneous dynamic panels
Monte Carlo
Seasonal unit roots
topic Cross-sectional dependence
Heterogeneous dynamic panels
Monte Carlo
Seasonal unit roots
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.
publishDate 2007
dc.date.created.spa.fl_str_mv 2007
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:06:30Z
dc.date.available.none.fl_str_mv 2020-05-26T00:06:30Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.econlet.2007.03.002
dc.identifier.issn.none.fl_str_mv 1651765
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23900
url https://doi.org/10.1016/j.econlet.2007.03.002
https://repository.urosario.edu.co/handle/10336/23900
identifier_str_mv 1651765
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 184
dc.relation.citationIssue.none.fl_str_mv No. 2
dc.relation.citationStartPage.none.fl_str_mv 179
dc.relation.citationTitle.none.fl_str_mv Economics Letters
dc.relation.citationVolume.none.fl_str_mv Vol. 97
dc.relation.ispartof.spa.fl_str_mv Economics Letters, ISSN:1651765, Vol.97, No.2 (2007); pp. 179-184
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-34548495788&doi=10.1016%2fj.econlet.2007.03.002&partnerID=40&md5=acc7ddcbca29e4be57cf2212d8750719
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
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