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

This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we Önd that the BIPS test invariably dominates, although for high levels of cross-sectional dependency the 3D-CIPS test can out-perform the BIPS test.


Issue Date:
Oct 10 2006
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/269741
Language:
English
Total Pages:
10
JEL Codes:
C12; C15; C22; C23




 Record created 2018-03-21, last modified 2018-03-21

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)