article
Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
Autor
Otero, Jesus
Smith, Jeremy
Giulietti, Monica
Institución
Resumen
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 [Pesaran, M.H. (2007). A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics, forthcoming.] (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test. © 2007 Elsevier B.V. All rights reserved.