EconStor >
Institut für Wirtschaftsforschung Halle (IWH) >
IWH-Diskussionspapiere, Institut für Wirtschaftsforschung Halle (IWH) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/23728
  
Title:Panel Seasonal Unit Root Test With An Application for Unemployment Data PDF Logo
Authors:Reimers, Hans-Eggert
Dreger, Christian
Issue Date:2004
Series/Report no.:Diskussionspapiere / Institut für Wirtschaftsforschung Halle 191
Abstract:In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests are analyzed for different deterministic and dynamic specifications. Evidence is presented that for a small time dimension the power is slow even for increasing cross section dimension. Therefore, it seems necessary to have a higher time dimension than cross section dimension. The new test is applied for unemployment behaviour in industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots are rejected. The null hypothesis of a unit root at the zero frequency is not rejected, thereby supporting the presence of hysteresis effects.
Subjects:Panel seasonal unit root test
IPS-approach
Unemployment data
JEL:C23
C22
Persistent Identifier of the first edition:urn:nbn:de:gbv:3:2-482
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des IWH
IWH-Diskussionspapiere, Institut für Wirtschaftsforschung Halle (IWH)

Files in This Item:
File Description SizeFormat
191.pdf243.13 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/23728

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.