EconPapers    
Economics at your fingertips  
 

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

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

No 269741, Economic Research Papers from University of Warwick - Department of Economics

Abstract: 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)
Date: 2006-10-10
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://ageconsearch.umn.edu/record/269741/files/twerp_771.pdf (application/pdf)
http://ageconsearch.umn.edu/record/269741/files/twerp_771.pdf?subformat=pdfa (application/pdf)

Related works:
Journal Article: Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence (2008) Downloads
Working Paper: Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence (2006) Downloads
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:ags:uwarer:269741

Access Statistics for this paper

More papers in Economic Research Papers from University of Warwick - Department of Economics
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2019-08-12
Handle: RePEc:ags:uwarer:269741