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

Monica Giulietti (), Jesus Otero () and Jeremy Smith

Economics Letters, 2008, vol. 101, issue 3, 188-192

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.

Keywords: Heterogeneous; dynamic; panels; Unit; roots; Cross-sectional; dependence (search for similar items in EconPapers)
Date: 2008
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Related works:
Working Paper: Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence (2006) Downloads
Working Paper: Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence (2006) Downloads
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