方法证据记录
CIPS Test
The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions.
源记录
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Cross-sectionally Augmented IPS (CIPS) Panel Unit-Root Test
分类方法记录 · hypothesis-test / econometrics
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