Testing for Unit Roots in Three-dimensional Heterogeneous Panels in the Presence of Cross-sectional Dependence

Publicado en

  • Economics Letters


  • 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.

fecha de publicación

  • 2008

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