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 find that the...

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.

We adopt time-series and cross-section methods to analyse long-term relationships between pairs of crude oil prices and assess how physical and institutional factors affect their speed of reaction to exogenous shocks. Using a methodological approach which does not require identifying specific...

This paper applies a pairwise approach to investigate the validity of the law of one price in the crude oil markets. Price differentials appear smaller between crude oil pairs with similar physical/chemical characteristics and also for pairs within OPEC.

This paper calculates response surface models for a large range of quantiles of the Leybourne (Oxf Bull Econ Stat 57:559–571, <CitationRef CitationID="CR9">1995</CitationRef>) test for the null hypothesis of a unit root against the alternative of (trend) stationarity. The response surface models allow the estimation of critical values...</citationref>

This paper estimates response surface coefficients for a large range of quantiles of the cross-sectionally augmented IPS (CIPS) test of Pesaran (<CitationRef CitationID="CR13">2007</CitationRef>), for different specifications of the deterministic components. An Excel programme is available to calculate the P value associated with a CIPS...</citationref>

We investigate the effects of outliers on the KPSS tests. We find that for nonstationary series outliers induce spurious stationarity by lowering the power of these tests. The empirical size of these tests is also found to be sensitive to the location of the outlier. Copyright Springer...