Testing for stationarity in heterogeneous panel data

in the presence of cross section dependence

Giulietti, Monica; Otero, Jesus; Smith, Jeremy

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oai:wrap.warwick.ac.uk:1440

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

Authors: Monica Giulietti
Jesus Otero
Jeremy Smith
Publication date: 1 September 2006
Publisher: University of Warwick, Department of Economics

Abstract

The panel variant of the KPSS tests developed by Hadri (2000) 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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oai:wrap.warwick.ac.uk:1440

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