The Local Power of the CADF and CIPS Panel Unit Root Tests
Författare
Summary, in English
Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This article derives the local asymptotic power functions of the cross-section argumented Dickey–Fuller Cross-section Augmented Dickey-Fuller (CADF) and CIPS tests of Pesaran (2007), which are among the most popular tests around.
Avdelning/ar
Publiceringsår
2016
Språk
Engelska
Sidor
845-870
Publikation/Tidskrift/Serie
Econometric Reviews
Volym
35
Issue
5
Dokumenttyp
Artikel i tidskrift
Förlag
Taylor & Francis
Ämne
- Economics
Nyckelord
- crosssectional dependence
- cross-sectional averages
- Panel unit root test
- common factor model
- local asymptotic power
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0747-4938