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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 (Jeremy P.). (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. 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 |
|---|---|
| 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 |
| Date: | December 2008 |
| Volume: | Vol.101 |
| Number: | No.3 |
| Number of Pages: | 5 |
| Page Range: | pp. 188-192 |
| Identification Number: | 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 |
| Related URLs: | |
| References: | Baltagi, B., 1987. On estimating from a more general time-series cum cross-section data structure. The American Economist 31, 69–71. Baltagi, B., Egger, H., Pfaffermayr, M., 2003. Generalized design of bilateral trade flow models. Economics Letters 80, 391–397. Chang, Y., 2004. Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics 120, 263–293. Davies, A., Lahiri, K., 1995. A new framework for analyzing survey forecasts using threedimensional panel data. Journal of Econometrics 68, 205–227. Ghosh, S.K., 1976. Estimating from a more general time-series cum cross-section data structure. The American Economist 20, 15–21. Goldberg, P.K., Verboven, F., 2005. Market integration and convergence to the lawof one price: evidence from the European car market. Journal of International Economics 65, 49–73. Im, K., Pesaran, M.H., Shin, Y., 2003. Testing for unit roots in heterogeneous panels. Journal of Econometrics 115, 53–74. Li, H., Maddala, G.S., 1996. Bootstrapping time series models. Econometric Reviews 15, 115–195. Maddala, G.S.,Wu, S., 1999. A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics 61, 631–652. Mátyás, L., 1997. Proper econometric specification of the gravity model. The World Economy 20, 363–368. O'Connell, P.G.J., 1998. The overvaluation of purchasing power parity. Journal of International Economics 44, 1–19. Pesaran, M.H., 2007. A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics 22, 265–312. Quah, D., 1994. Exploiting cross-section variations for unit root inference in dynamic data. Economics Letters 44, 9–19. |
| URI: | http://wrap.warwick.ac.uk/id/eprint/28844 |
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