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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
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Giulietti, Monica, Otero, Jesus and Smith, Jeremy (2006) Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.771).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
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.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Panel analysis, Monte Carlo method, Statistical hypothesis testing, Economics -- Simulation methods, Time-series analysis | ||||
Series Name: | Warwick economic research papers | ||||
Publisher: | University of Warwick, Department of Economics | ||||
Place of Publication: | Coventry | ||||
Official Date: | October 2006 | ||||
Dates: |
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Number: | No.771 | ||||
Number of Pages: | 10 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Universidad del Rosario (UdR) | ||||
Version or Related Resource: | Giulietti, M., Otero, J. and Smith, J. (2008). Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence. Economics Letters, 101(3), pp. 188-192. http://wrap.warwick.ac.uk/id/eprint/28844 | ||||
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