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

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.

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Year of publication:	2006
Authors:	Giulietti, Monica ; Otero, Jesús ; Smith, Jeremy
Institutions:	Department of Economics, University of Warwick
Subject:	Heterogeneous dynamic panels \| Monte Carlo \| unit roots \| cross-sectional dependence

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Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Language:	English
Notes:	10 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005368631