Testing for Seasonal Unit Roots In Heterogeneous Panels Using Monthly Data in: The Presence of Cross Sectional Dependence

Serie

  • Economic Research Papers

Resumen

  • This paper generalises the monthly seasonal unit root tests of Franses (1991) for a heterogeneous panel following the work of Im, Pesaran, and Shin (2003), which we refer to as the F-IPS tests. The paper presents the mean and variance necessary to yield a standard normal distribution for the tests, for di§erent number of time observations, T, and lag lengths. However, these tests are only applicable in the absence of cross-sectional dependence. Two alternative methods for modifying these F-IPS tests in the presence of cross-sectional dependency are presented: the Örst is the cross-sectionally augmented test, denoted CF-IPS, following Pesaran (2007), the other is a bootstap method, denoted BF-IPS. In general, the BF-IPS tests have greater power than the CF-IPS tests, although for large T and high degree of cross-sectional dependency the CF-IPS test dominates the BF-IPS test.

fecha de publicación

  • 2008-09

Líneas de investigación

  • Agricultural and Food Policy
  • Research Methods
  • Statistical Methods

Issue

  • 269863