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| Andrea Cerasa |
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| ''CIPS test for Unit Root in Panel Data: further Monte Carlo results'' |
| ( 2008, Vol. 3 No.16 ) |
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| 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. |
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| Keywords: |
JEL: C2 - Single Equation Models; Single Variables: General
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| Manuscript Received : Jul 12 2007 | | Manuscript Accepted : Mar 19 2008 |
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