Panel seasonal unit root test: Further simulation results and an application to unemployment data

Allgemeines Statistisches Archiv

Volumn 89, Issue 3, 2005, Pages 321-337

  Dreger, Christian ^a   Reimers, Hans Eggert ^b  

^a Institute of Economic Research   (Germany)

^b Hochschule Wismar   (Germany)

Author keywords

IPS approach; Panel seasonal unit root test; Unemployment data

Indexed keywords

EID: 31944442419     PISSN: 00026018     EISSN: 16140176     Source Type: Journal    
DOI: 10.1007/s10182-005-0207-8     Document Type: Review

References (11)

1. BANERJEE, A. (1999). Panel data unit roots and cointegration: An overview. Oxford Bulletin of Economics and Statistics 61 607-629.
2. BLANCHAR.D, O. J., SUMMERS, L. H. (1986). Hysteresis and the European unemployment problem. In NBER Macroeconomics Annual (S. Fischer, ed.), 15-78. MIT Press Cambridge, Massachussets.
3. CAMARERO, M., CARRION-I-SILVESTRE, J. L., TAMARIT, C. (2004). Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks. Documents de Treball de la Divisio, Universitat Jaunie I.
4. DREGER, C., REIMERS, H. E. (2004). Panel seasonal unit root test with an application to unemployment data. iwh-Diskussionspapier, Nr. 191, Halle.
5. ENGLE, R. F., GRANGER, C. W. J., HYLLEBERG, S., LEE, H. S. (1993). Seasonal cointegration: The Japanese consumption function. Journal of Econometrics 55 275-298.
6. HYLLEBERG, S., ENGLE, R. F., GRANGER, C. W. J., Yoo, B. S. (1990). Seasonal integration and cointegration. Journal of Econometrics 44 215-238.
7. IM, K. S., PESARAN, M. H., SHIN, Y. (2002). Testing for unit roots in heterogeneous panels. Discussion Paper, Trinity College, Cambridge.
8. LEON-LEDESMA, M. A. (2000). Unemployment hysteresis in the US and the EU: A panel data approach. Discussion Paper, University of Kent, Kent.
9. OTERO, J., SMITH, J., GIULIETTI, M. (2004). Testing for seasonal unit roots in heterogeneous panels. Warwick Economic Research Papers, Department of Economics, No. 695.
10. PHILLIPS, P. C. B., MOON, H. R. (1999). Linear regression limit theory for nonstationary panel data. Econometrica 67 1057-1111.
11. SMYTH, R. (2003). Unemployment hysteresis in Australian states and regions. The Australian Economic Beviews 19 181-192.