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...

Full description

Autores:

Tipo de recurso:

Fecha de publicación:: 2009

Institución:: Universidad del Rosario

Repositorio:: Repositorio EdocUR - U. Rosario

Idioma:: eng

id	EDOCUR2_f3accb1671e1a0ea9de7412d6fe47fcf
oai_identifier_str	oai:repository.urosario.edu.co:10336/22460
network_acronym_str	EDOCUR2
network_name_str	Repositorio EdocUR - U. Rosario
repository_id_str
spelling	a77e4982-67ef-4241-a60f-93f241ebcd9f-1ed53a3e2-2b2c-46a6-a77d-51e23954fa8f-1792428146002020-05-25T23:56:33Z2020-05-25T23:56:33Z2009The 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.application/pdfhttps://doi.org/10.1080/00949650701719136949655https://repository.urosario.edu.co/handle/10336/22460eng203No. 2195Journal of Statistical Computation and SimulationVol. 79Journal of Statistical Computation and Simulation, ISSN:949655, Vol.79, No.2 (2009); pp. 195-203https://www.scopus.com/inward/record.uri?eid=2-s2.0-57349147666&doi=10.1080%2f00949650701719136&partnerID=40&md5=2e9b675338d00c1c2272013388893537Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURBootstrapCross-section dependenceHeterogeneous dynamic panelsMonte CarloUnit root testsTesting for stationarity in heterogeneous panel data in the presence of cross-section dependencearticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Giulietti, MonicaSmith, JeremyOtero Cardona, Jesús Gilberto10336/22460oai:repository.urosario.edu.co:10336/224602022-05-02 07:37:14.181903https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
title	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
spellingShingle	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence Bootstrap Cross-section dependence Heterogeneous dynamic panels Monte Carlo Unit root tests
title_short	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
title_full	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
title_fullStr	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
title_full_unstemmed	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
title_sort	Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
dc.subject.keyword.spa.fl_str_mv	Bootstrap Cross-section dependence Heterogeneous dynamic panels Monte Carlo Unit root tests
topic	Bootstrap Cross-section dependence Heterogeneous dynamic panels Monte Carlo Unit root tests
description	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.
publishDate	2009
dc.date.created.spa.fl_str_mv	2009
dc.date.accessioned.none.fl_str_mv	2020-05-25T23:56:33Z
dc.date.available.none.fl_str_mv	2020-05-25T23:56:33Z
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/10.1080/00949650701719136
dc.identifier.issn.none.fl_str_mv	949655
dc.identifier.uri.none.fl_str_mv	https://repository.urosario.edu.co/handle/10336/22460
url	https://doi.org/10.1080/00949650701719136 https://repository.urosario.edu.co/handle/10336/22460
identifier_str_mv	949655
dc.language.iso.spa.fl_str_mv	eng
language	eng
dc.relation.citationEndPage.none.fl_str_mv	203
dc.relation.citationIssue.none.fl_str_mv	No. 2
dc.relation.citationStartPage.none.fl_str_mv	195
dc.relation.citationTitle.none.fl_str_mv	Journal of Statistical Computation and Simulation
dc.relation.citationVolume.none.fl_str_mv	Vol. 79
dc.relation.ispartof.spa.fl_str_mv	Journal of Statistical Computation and Simulation, ISSN:949655, Vol.79, No.2 (2009); pp. 195-203
dc.relation.uri.spa.fl_str_mv	https://www.scopus.com/inward/record.uri?eid=2-s2.0-57349147666&doi=10.1080%2f00949650701719136&partnerID=40&md5=2e9b675338d00c1c2272013388893537
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
_version_	1814167743037964288

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

Publicaciones similares