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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Citations: View citations in EconPapers (4)
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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) 
Working Paper: Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence (2006) 
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:3:p:188-192
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