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

Faculty of Economics

Research output: Contribution to Journal › Research Article › peer-review

4 Scopus citations

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

@article{c55e6690dd574d858fd69e1d7c7dbbbc,

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",

note = "Funding Information: Work on this paper began while Jes{\'u}s Otero was a Visiting Fellow in the Department of Economics at the University of Warwick. For this, we thank the ESRC (RES-000-22-1686) and Universidad del Rosario for financial assistance. We are indebted to Ana Maria Iregui for help in obtaining some necessary data for the empirical illustration. We also wish to thank an anonymous referee for valuable comments and suggestions. ",

year = "2008",

month = dec,

doi = "10.1016/j.econlet.2008.08.001",

language = "English (US)",

volume = "101",

pages = "188--192",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier BV",

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TY - JOUR

T1 - Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence

AU - Giulietti, Monica

AU - Otero, Jesús

AU - Smith, Jeremy

N1 - Funding Information: Work on this paper began while Jesús Otero was a Visiting Fellow in the Department of Economics at the University of Warwick. For this, we thank the ESRC (RES-000-22-1686) and Universidad del Rosario for financial assistance. We are indebted to Ana Maria Iregui for help in obtaining some necessary data for the empirical illustration. We also wish to thank an anonymous referee for valuable comments and suggestions.

PY - 2008/12

Y1 - 2008/12

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.

UR - https://www.scopus.com/pages/publications/55549091690

UR - https://www.scopus.com/pages/publications/55549091690#tab=citedBy

U2 - 10.1016/j.econlet.2008.08.001

DO - 10.1016/j.econlet.2008.08.001

M3 - Research Article

AN - SCOPUS:55549091690

SN - 0165-1765

VL - 101

SP - 188

EP - 192

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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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