Testing for Seasonal Unit Roots in Heterogeneous Panels in the Presence of Cross Section Dependence


  • The Warwick Economics Research Paper Series (TWERPS)


  • 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 (2007) (CHEGY-IPS), although for large T and high degree of cross-sectional dependency the CHEGY-IPS test dominates the BHEGY-IPS test.

fecha de publicación

  • 2007

Líneas de investigación

  • Cross Sectional Dependence
  • Heterogeneous Dynamic Panels
  • Monte Carlo
  • Seasonal Unit Roots


  • 784