Hamori, Shigeyuki; Hashiguchi, Yoshihiro - In: Economics Bulletin 32 (2012) 3, pp. 2353-2365
This paper used Monte Carlo simulations to analyze the small sample properties of cross-sectionally augmented panel unit root test (CIPS test). We considered situations involving two types of time-series heteroskedasticity (unconditional and ARCH) in the unobserved common factor and...