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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

By Jesus Otero, Jeremy Smith and Monica Giulietti

Abstract

This paper presents two alternative methods for modifying the HEGY-IPS test in the presence of cross-sectional dependency. In general, the bootstrap method (BHEGY-IPS) has greater power than the method suggested by Pesaran (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test

Topics: HB
Publisher: University of Warwick, Department of Economics
Year: 2007
OAI identifier: oai:wrap.warwick.ac.uk:1419

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