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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

The Warwick Economics Research Paper Series (TWERPS) 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 find 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: Heterogeneous dynamic panels; Monte Carlo; unit roots; cross-sectional dependence (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2006
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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
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