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

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.

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Year of publication:	2008
Authors:	Giulietti, Monica ; Otero, Jesús ; Smith, Jeremy
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 188-192
Publisher:	Elsevier
Keywords:	Heterogeneous dynamic panels Unit roots Cross-sectional dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005288012