Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence

The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodo...

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Tipo de recurso:

Fecha de publicación:

2009

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/22460

Acceso en línea:

https://doi.org/10.1080/00949650701719136
https://repository.urosario.edu.co/handle/10336/22460

Palabra clave:

Bootstrap
Cross-section dependence
Heterogeneous dynamic panels
Monte Carlo
Unit root tests

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