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

dc.creatorOtero, Jesus
dc.creatorSmith, Jeremy
dc.creatorGiulietti, Monica
dc.date.accessioned2020-05-26T00:06:30Z
dc.date.accessioned2022-09-22T14:24:08Z
dc.date.available2020-05-26T00:06:30Z
dc.date.available2022-09-22T14:24:08Z
dc.date.created2020-05-26T00:06:30Z
dc.identifier1651765
dc.identifierhttps://repository.urosario.edu.co/handle/10336/23900
dc.identifierhttps://doi.org/10.1016/j.econlet.2007.03.002
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/3438425
dc.description.abstractThis 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.
dc.languageeng
dc.relationEconomics Letters, ISSN:1651765, Vol.97, No.2 (2007); pp. 179-184
dc.relationhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-34548495788&doi=10.1016%2fj.econlet.2007.03.002&partnerID=40&md5=acc7ddcbca29e4be57cf2212d8750719
dc.relation184
dc.relationNo. 2
dc.relation179
dc.relationEconomics Letters
dc.relationVol. 97
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsAbierto (Texto Completo)
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.titleTesting for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
dc.typearticle


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