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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
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Autores
Giulietti, Monica
Otero Cardona, Jesús Gilberto
Smith, Jeremy
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Fecha
2008
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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. © 2008 Elsevier B.V. All rights reserved.
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Keywords
Cross-sectional dependence , Heterogeneous dynamic panels , Unit roots
