Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
Giulietti, Monica, Otero, Jesus and Smith, Jeremy (Jeremy P.) (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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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)|
|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|
|Number of Pages:||10|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|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|
Baltagi, B. H. (1987). On estimating from a more general time-series cum cross-section data structure. The American Economist 31, 69-71.
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