Abstract
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 [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.
Original language | English |
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Pages (from-to) | 179-184 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 97 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1 Nov 2007 |
Keywords
- Cross-sectional dependence
- Heterogeneous dynamic panels
- Monte Carlo
- Seasonal unit roots