Testing for Unit Roots in Three Dimensional Heterogeneous Panels in: The Presence of Cross Sectional Dependence


  • Economic Research Papers


  • This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we Önd that the BIPS test invariably dominates, although for high levels of cross-sectional dependency the 3D-CIPS test can out-perform the BIPS test.

fecha de publicación

  • 2006-10

Líneas de investigación

  • Agricultural and Food Policy
  • Research Methods
  • Statistical Methods


  • 269741