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...
- Autores:
- 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
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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 methodology, we find that these tests are approximately correctly sized. |
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