Testing for seasonal unit roots in heterogeneous panels

被引：8
|
作者：
Otero, J
Smith, J
Giulietti, M
机构：
[1] Univ Rosario, Fac Econ, Bogota, Colombia
[2] Univ Warwick, Dept Econ, Warwick, England
[3] Aston Univ, Aston Business Sch, Birmingham B4 7ET, W Midlands, England
来源：
ECONOMICS LETTERS | 2005年 / 86卷 / 02期
关键词：
heterogeneous dynamic panels; seasonal unit roots;
D O I：
10.1016/j.econlet.2004.06.018
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper uses the approach of Im, Pesaran and Shin [Im, K.S., Pesaran, M.H., Shin, Y, 2003. Testing for unit roots in heterogeneous panels. Journal of Economics 115, 53-74.] to propose seasonal unit root tests for dynamic heterogeneous panels. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variates. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码：229 / 235
页数：7
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