Testing for Seasonal Unit Roots in Heterogeneous Panels


  • Econometric SocieTY 2004 Latin American Meetings


  • This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised T-bar and F-bar statistics are simply averages of the HEGY tests across groups. These statistics converge to standard normal variate.

fecha de publicación

  • 2004-08

Líneas de investigación

  • Heterogeneous Dynamic Panels
  • Monte Carlo
  • Seasonal Unit Roots


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