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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 (2008) Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence. Economics Letters, Vol.101 (No.3). pp. 188-192. doi:10.1016/j.econlet.2008.08.001 ISSN 0165-1765.
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Official URL: http://dx.doi.org/10.1016/j.econlet.2008.08.001
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. (C) 2008 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||
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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 | ||||
Journal or Publication Title: | Economics Letters | ||||
Publisher: | Elsevier | ||||
ISSN: | 0165-1765 | ||||
Official Date: | December 2008 | ||||
Dates: |
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Volume: | Vol.101 | ||||
Number: | No.3 | ||||
Number of Pages: | 5 | ||||
Page Range: | pp. 188-192 | ||||
DOI: | 10.1016/j.econlet.2008.08.001 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC), Universidad del Rosario | ||||
Grant number: | RES-000-22-1686 (ESRC) | ||||
Version or Related Resource: | Giuletti, M., Otero, J. and Smith, J.P. (2006). Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence. [Coventry] : University of Warwick, Economics Department. (Warwick economic research papers, no.771). http://wrap.warwick.ac.uk/id/eprint/1428 | ||||
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