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 E...

Descripción completa

Detalles Bibliográficos
Autores Principales: Giulietti, Monica, Otero, Jesús, Smith, Jeremy
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2008
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/23895
https://doi.org/10.1016/j.econlet.2008.08.001