Article ID Journal Published Year Pages File Type
5061822 Economics Letters 2008 5 Pages PDF
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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
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