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...
- Autores:
- 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
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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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