NDLI: Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data

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Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data

Content Provider	Springer Nature Link
Author	Dreger, Christian Reimers, Hans Eggert
Copyright Year	2005
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) and is independently proposed by Otero et al. (2004). Test statistics are given and critical values are obtained by simulation. Moreover, the properties of the tests are analyzed for different deterministic and dynamic specifications. Evidence is presented that for a small time series dimension the power is low even for increasing cross section dimension. Therefore, it seems necessary to have a higher time series dimension than cross section dimension. The test is applied to unemployment data 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.In dieser Arbeit wird der saisonale Einheitswurzeltests von Hylleberg et al. (1990) auf heterogene Panel verallgemeinert. Die Prozedur folgt dem Ansatz von Im, Pesaran and Shin (2002) und wird in der Arbeit von Otero et al. (2004) unabhängig von diesem Beitrag vorgeschlagen. Die abgeleiteten Teststatistiken werden dargestellt und kritische Werte mit Hilfe von Simulationen ermittelt. Die Eigenschaften der Tests werden für verschiedene deterministische und dynamische Spezifikationen untersucht. Es zeigt sich, dass für kleine Zeitdimensionen die Güte der Tests auch dann gering ist, wenn die Querschnittsdimension wächst. Bei einer empirischen Analyse erscheint es notwendig, das der Datensatz eine größere Zeitdimension als Querschnittsdimension hat. Das Verfahren wird auf die in Quartalen vorliegenden Arbeitslosenquoten industrialisierter Staaten angewendet. Obwohl in einigen Ländern saisonale Einheitswurzeln gefunden werden, wird die Nullhypothese von saisonalen Einheitswurzeln im Panel abgelehnt. Die Nullhypothese einer Einheitswurzel für die Nullfrequenz wird jedoch im Panel nicht abgelehnt, sodass sich Evidenz für Hysteresiseffekte ergibt.
Starting Page	321
Ending Page	337
Page Count	17
File Format	PDF
ISSN	00026018
Journal	AStA Advances in Statistical Analysis
Volume Number	89
Issue Number	3
e-ISSN	16140176
Language	English
Publisher	Springer-Verlag
Publisher Date	2005-01-01
Publisher Place	Berlin, Heidelberg
Access Restriction	Subscribed
Subject Keyword	Panel seasonal unit root test IPS-approach unemployment data JEL C22 C23 Probability Theory and Stochastic Processes Statistics Statistics for Business/Economics/Mathematical Finance/Insurance Econometrics
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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