CIPS test for Unit Root in Panel Data: further Monte Carlo results

Andrea Cerasa ()
Additional contact information
Andrea Cerasa: University "La Sapienza" of Rome

Economics Bulletin, 2008, vol. 3, issue 16, 1-13

Abstract: 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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2008-03-19
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2008/Volume3/EB-07C20091A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-07c20091

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().