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 simpl...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2005
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23899
- Acceso en línea:
- https://doi.org/10.1016/j.econlet.2004.06.018
https://repository.urosario.edu.co/handle/10336/23899
- Palabra clave:
- Heterogeneous dynamic panels
Seasonal unit roots
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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. |
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