All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Andrea Cerasa
 
''CIPS test for Unit Root in Panel Data: further Monte Carlo results''
( 2008, Vol. 3 No.16 )
 
 
This paper analyzes, through Monte Carlo experiments, the behaviour of Pesaran's CIPS test for the null of a unit root in panel data when (i) the assumption of a single common factor in the specification of the cross-section dependence is violated and (ii) the autoregressive order of the residuals is estimated. The simulation analysis points to the single common factor as a fundamental assumption for a suitable behaviour of the CIPS test and suggests that the test delivers the best performance when the truncation lag is estimated as a deterministic function of the sample size.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Jul 12 2007 Manuscript Accepted : Mar 19 2008

  This abstract has been downloaded 409 times                The Full PDF of this paper has been downloaded 87738 times