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

Monica Giulietti; Jesús Otero; Jeremy Smith

doi:10.1016/j.econlet.2008.08.001

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

Monica Giulietti, Jesús Otero, Jeremy Smith

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Abstract

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.

Original language	English (US)
Pages (from-to)	188-192
Number of pages	5
Journal	Economics Letters
Volume	101
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2008.08.001
State	Published - Dec 2008

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2008.08.001

Cite this

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

abstract = "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.",

author = "Monica Giulietti and Jes{\'u}s Otero and Jeremy Smith",

year = "2008",

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journal = "Economics Letters",

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AU - Giulietti, Monica

AU - Otero, Jesús

AU - Smith, Jeremy

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N2 - 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.

AB - 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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JO - Economics Letters

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

Abstract

All Science Journal Classification (ASJC) codes

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