文章基本信息

标题：CIPS test for Unit Root in Panel Data: further Monte Carlo results
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作者：Andrea Cerasa
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2008
卷号：3
出版社：Economics Bulletin
摘要：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.