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Testing for seasonal unit roots in heterogeneous panels

By Jesus Otero, Jeremy Smith and Monica Giulietti

Abstract

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates

Topics: HB
Publisher: University of Warwick, Department of Economics
Year: 2004
OAI identifier: oai:wrap.warwick.ac.uk:1493

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Citations

  1. (cont’d): Mean and variance correction for 2 F bar and 3 Fbar
  2. 8 Table 1: Mean and variance correction for 1 t bar and 2 t bar
  3. NOTE: For power the DGP is written as 1 it i i it it yy
  4. t bar 2 t bar p T=20 doi
  5. (1994). Testing for unit roots in seasonal time series – some theoretical extensions and a Monte Carlo investigation”, doi

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