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 Principales: | , , |
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Formato: | Artículo (Article) |
Lenguaje: | Inglés (English) |
Publicado: |
2008
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Materias: | |
Acceso en línea: | https://repository.urosario.edu.co/handle/10336/23895 https://doi.org/10.1016/j.econlet.2008.08.001 |