Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
Monica Giulietti (),
Jesus Otero () and
No 269741, Economic Research Papers from University of Warwick - Department of Economics
This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we Önd that the BIPS test invariably dominates, although for high levels of cross-sectional dependency the 3D-CIPS test can out-perform the BIPS test.
Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods (search for similar items in EconPapers)
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Journal Article: Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence (2008)
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:ags:uwarer:269741
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