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

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 3
Pages: 188-192

Authors (3)

Giulietti, Monica (Loughborough University) Otero, Jesús (Universidad del Rosario) Smith, Jeremy (University of Warwick)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:3:p:188-192
Journal Field
General
Author Count
3
Added to Database
2026-01-25