The Local Power of the CADF and CIPS Panel Unit Root Tests

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.

• Författare: Joakim Westerlund; Mehdi Hosseinkouchack; Martin Solberger
• Avdelning/ar: Nationalekonomiska institutionen
• Publiceringsår: 2016
• Språk: Engelska
• Sidor: 845-870
• Publikation/Tidskrift/Serie: Econometric Reviews
• Volym: 35
• Issue: 5
• Länkar: http://dx.doi.org/10.1080/07474938.2014.977077
• 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