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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence

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Author Info
Giulietti, Monica
Otero, Jesús
Smith, Jeremy

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Abstract

The cross-sectionally augmented IPS (CIPS) test of Pesaran (2007) is extended for a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized. However, a bootstrapped IPS test has better power performance than the 3D-CIPS, except for high levels of cross-sectional dependency.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4T72WPY-4/2/11ade91f10040ba11100ba1f30ddf70d
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 101 (2008)
Issue (Month): 3 (December)
Pages: 188-192
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Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:188-192

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Web page: http://www.elsevier.com/locate/ecolet

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Related research
Keywords: Heterogeneous dynamic panels Unit roots Cross-sectional dependence;

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