Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

DOI10.1016/J.ECONLET.2007.03.002zbMath1255.91367OpenAlexW2123399249WikidataQ59200920 ScholiaQ59200920MaRDI QIDQ1934170

Jeremy Smith, Jesus Otero, Monica Giulietti

Publication date: 28 January 2013

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

Full work available at URL: http://publications.aston.ac.uk/id/eprint/31152/

zbMATH Keywords

Monte Carloseasonal unit rootscross-sectional dependenceheterogeneous dynamic panels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Disentangling the source of non-stationarity in a panel of seasonal data

Cites Work

• Seasonal integration and cointegration
• Testing for unit roots in heterogeneous panels.
• Testing for seasonal unit roots in heterogeneous panels
• Bootstrap unit root tests in panels with cross-sectional dependency
• Panel seasonal unit root test: further simulation results and an application to unemployment data
• Bootstrapping time series models

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