Testing for seasonal unit roots in heterogeneous panels

DOI10.1016/J.ECONLET.2004.06.018zbMath1255.62275OpenAlexW2129170047WikidataQ59200938 ScholiaQ59200938MaRDI QIDQ1927742

Monica Giulietti, Jeremy Smith, Jesus Otero

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/269589/files/twerp695.pdf

zbMATH Keywords

heterogeneous dynamic panels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (4)

Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence ⋮ Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator ⋮ Disentangling the source of non-stationarity in a panel of seasonal data ⋮ Tests for seasonal unit roots in panels of cross-sectionally correlated time series

Cites Work

• Seasonal integration and cointegration
• Testing for unit roots in heterogeneous panels.
• The Econometric Analysis of Seasonal Time Series

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