TY - JOUR
T1 - Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
AU - Giulietti, Monica
AU - Otero, Jesús
AU - Smith, Jeremy
PY - 2009
Y1 - 2009
N2 - The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.
AB - The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3, 148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.
KW - bootstrap
KW - cross-section dependence
KW - heterogeneous dynamic panels
KW - Monte Carlo
KW - unit root tests
UR - http://www.tandfonline.com/10.1080/00949650701719136
UR - http://www.scopus.com/inward/record.url?scp=57349147666&partnerID=8YFLogxK
U2 - 10.1080/00949650701719136
DO - 10.1080/00949650701719136
M3 - Article
AN - SCOPUS:57349147666
SN - 0094-9655
VL - 79
SP - 195
EP - 203
JO - Journal of Statistical Computation and Simulation
JF - Journal of Statistical Computation and Simulation
IS - 2
ER -