Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence

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 Elsevie...

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Tipo de recurso:

Fecha de publicación:

2008

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/23895

Acceso en línea:

https://doi.org/10.1016/j.econlet.2008.08.001
https://repository.urosario.edu.co/handle/10336/23895

Palabra clave:

Cross-sectional dependence
Heterogeneous dynamic panels
Unit roots

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