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Response Surface Estimates of the Cross-Sectionally Augmented IPS Tests for Panel Unit Roots

Otero, Jesús; Smith, Jeremy - In: Computational economics 41 (2013) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010066337

Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence

Otero, Jesús; Smith, Jeremy; Giulietti, Monica - In: Economics letters 97 (2007) 2, pp. 179

Persistent link: https://www.econbiz.de/10007795256

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

Giulietti, Monica; Otero, Jesús; Smith, Jeremy - In: Economics letters 101 (2008) 3, pp. 188-193

Persistent link: https://www.econbiz.de/10008897554

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

Giulietti, Monica; Otero, Jesús; Smith, Jeremy - In: Economics Letters 101 (2008) 3, pp. 188-192

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.

Persistent link: https://www.econbiz.de/10005288012

The KPSS Test with Outliers

Otero, Jesús; Smith, Jeremy - In: Computational Economics 26 (2005) 3, pp. 59-67

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...

Persistent link: https://www.econbiz.de/10005701585