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

journal

  • Economics Letters

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.

publication date

  • 2008-12-1

edition

  • 101

keywords

  • Cross-sectional Dependence
  • Heterogeneous Panels
  • Performance
  • Testing
  • Unit Root

International Standard Serial Number (ISSN)

  • 0165-1765

number of pages

  • 5

start page

  • 188

end page

  • 192