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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 (Aston Business School, University of Aston)
Otero, Jesús (Facultad de Economía, Universidad del Rosario,)
Smith, Jeremy (Department of Economics, University of Warwick)

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Abstract

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 BIPS test invariably dominates, although for high levels of cross-sectional dependency the 3D-CIPS test can out-perform the BIPS test.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/publications/2006/twerp_771.pdf
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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 771.

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Length: 10 pages
Date of creation: 2006
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Handle: RePEc:wrk:warwec:771

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Related research
Keywords: Heterogeneous dynamic panels ; Monte Carlo ; unit roots ; cross-sectional dependence;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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This page was last updated on 2009-11-25.

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