Otero, Jesús; Smith, Jeremy; Giulietti, Monica - Department of Economics, University of Warwick - 2008
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...