Testing for Seasonal Unit Roots in Heterogeneous Panels Documento de trabajo uri icon

Abstracto

  • This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised T-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variate.

fecha de publicación

  • 2004-08

Palabras clave

  • Heterogeneous Dynamic Panels
  • Monte Carlo
  • Seasonal Unit Roots

Número

  • 21