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...

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...

This paper investigates the evolution of electricity prices for domestic customers in the UK following the introduction of competition. The empirical analysis is based on a panel data set containing detailed information about electricity supply prices over the period 1999 to 2006. The analysis...

We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outliers induce spurious stationarity by lowering the power of these tests. The empirical size of these tests is also found to be sensitive to the location of the outlier.

This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we find that the...

This paper generalises the monthly seasonal unit root tests of Franses (1991) for a heterogeneous panel following the work of Im, Pesaran, and Shin (2003), which we refer to as the F-IPS tests. The paper presents the mean and variance necessary to yield a standard normal distribution for the...

This paper studies the impast of a fire in 2006 which removed the possibility of access to the Rough gas storage facilities covering 80% of total UK storage, at a time when major withdrawals from storage would likely have taken place. Implicitly, it shows the value of such storage facilities, in...

This paper studies consumer search and pricing behaviour in the British domestic electricity market following its opening to competition in 1999. We develop a sequential search model in which an incumbent and an entrant group compete for consumers who nd it costly to obtain information on prices...

We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application. Our results indicate that the use of filters distorts the size and reduces the power of these tests.