CIPS test for Unit Root in Panel Data: further Monte Carlo results
This paper analyzes, through Monte Carlo experiments, the behaviour of Pesaran's CIPS test for the null of a unit root in panel data when (i) the assumption of a single common factor in the specification of the cross-section dependence is violated and (ii) the autoregressive order of the residuals is estimated. The simulation analysis points to the single common factor as a fundamental assumption for a suitable behaviour of the CIPS test and suggests that the test delivers the best performance when the truncation lag is estimated as a deterministic function of the sample size.
Volume (Year): 3 (2008)
Issue (Month): 16 ()
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- John Y. Campbell & Pierre Perron, 1991.
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in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220
National Bureau of Economic Research, Inc.
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- Serena Ng & Pierre Perron, 1997.
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Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
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