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

By Monica Giulietti, Jesus Otero and Jeremy Smith

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

Topics: HB
Publisher: University of Warwick, Department of Economics
Year: 2006
OAI identifier: oai:wrap.warwick.ac.uk:1440

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