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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- Campbell, J.Y. & Perron, P., 1991.
"Pitfalls and Opportunities: What Macroeconomics should know about unit roots,"
360, Princeton, Department of Economics - Econometric Research Program.
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- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
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- Serena Ng & Pierre Perron, 2001.
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Econometric Society, vol. 69(6), pages 1519-1554, November.
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CEPR Discussion Papers
1350, C.E.P.R. Discussion Papers.
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