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Otero, Jesus; Smith, Jeremy; Giulietti, Monica (2007)
Publisher: University of Warwick, Department of Economics
Languages: English
Types: Book
Subjects: HB

Classified by OpenAIRE into

ACM Ref: Hardware_REGISTER-TRANSFER-LEVELIMPLEMENTATION, ComputingMilieux_LEGALASPECTSOFCOMPUTING, Hardware_LOGICDESIGN, Hardware_PERFORMANCEANDRELIABILITY
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 (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120, 263–293.
    • Dreger, C. and Reimers, H.-E. (2005). Panel seasonal unit root tests: Further simulation results and an application to unemployment data. Allgemeines Statistisches Archiv 89, 321-337.
    • Ghysels, E., H. S. Lee, and J. Noh (1994). Testing for unit roots in seasonal time series - Some theoretical extensions and a Monte Carlo investigation. Journal of Econometrics 62, 415–442.
    • Hylleberg, S., R. F. Engle, C. W. J. Granger, and B. S. Yoo (1990). Seasonal integration and cointegration. Journal of Econometrics 44, 215–238.
    • Im, K., M. H. Pesaran, and Y. Shin (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics 115, 53–74.
    • Li, H. and G. S. Maddala (1996). Bootstrapping time series models. Econometric Reviews 15, 115–195.
    • Maddala, G. S. and S. Wu (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics 61, 631–652.
    • Otero, J., J. Smith, and M. Giulietti (2005). Testing for seasonal unit roots in heterogeneous panels.
    • Economics Letters 86, 229–235.
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