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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
Giulietti, Monica; Otero, Jesús; Smith, Jeremy - Department of Economics, University of Warwick - 2006
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...
Persistent link: https://www.econbiz.de/10005368631
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Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence
Otero, Jesús; Smith, Jeremy; Giulietti, Monica - Department of Economics, University of Warwick - 2008
This paper generalises the monthly seasonal unit root tests of Franses (1991) for a heterogeneous panel following the work of Im, Pesaran, and Shin (2003), which we refer to as the F-IPS tests. The paper presents the mean and variance necessary to yield a standard normal distribution for the...
Persistent link: https://www.econbiz.de/10005146961
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Testing for seasonal unit roots in heterogeneous panels
Otero, Jesús G. (contributor); Smith, Jeremy (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001866894
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Testing for seasonal unit roots in heterogeneous panels
Otero, Jesús G.; Smith, Jeremy; Giulietti, Monica - In: Economics letters 86 (2005) 2, pp. 229-235
Persistent link: https://www.econbiz.de/10002584422
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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
Giulietti, Monica; Otero, Jesús G.; Smith, Jeremy - In: Economics letters 101 (2008) 3, pp. 188-192
Persistent link: https://www.econbiz.de/10003801247
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Testing for stationarity in heterogeneous panel data in the presence of cross section dependence
Giulietti, Monica (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003369352
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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
Otero, Jesús G.; Smith, Jeremy; Giulietti, Monica - In: Economics letters 97 (2007) 2, pp. 179-184
Persistent link: https://www.econbiz.de/10003575447
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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
Giulietti, Monica (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003386888
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Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence
Otero, Jesús G. (contributor); Smith, Jeremy (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003753831
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Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
Otero, Jesús G. (contributor); Smith, Jeremy (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003400980