Dreger, Christian; Reimers, Hans-Eggert - Institut für Wirtschaftsforschung Halle (IWH) - 2004
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...