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The Local Power of the CADF and CIPS Panel Unit Root Tests
Department of Economics, Lund University, Lund, Sweden.
Goethe University Frankfurt, Germany.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2016 (English)In: Econometric Reviews, ISSN 0747-4938, E-ISSN 1532-4168, Vol. 35, no 5, 845-870 p.Article in journal (Refereed) Published
Abstract [en]

Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This paper derives the local asymptotic power functions of the CADF and CIPS tests of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007), which are among the most popular tests around.

Place, publisher, year, edition, pages
Taylor & Francis, 2016. Vol. 35, no 5, 845-870 p.
Keyword [en]
Common factor model, Cross-sectional averages, Cross-sectional dependence, Local asymptotic power, Panel unit root test
National Category
Probability Theory and Statistics
Research subject
URN: urn:nbn:se:uu:diva-240610DOI: 10.1080/07474938.2014.977077ISI: 000371935700005OAI: oai:DiVA.org:uu-240610DiVA: diva2:776846
The Jan Wallander and Tom Hedelius Foundation, P2014-0112:1
Available from: 2015-01-08 Created: 2015-01-08 Last updated: 2016-04-19Bibliographically approved

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Publisher's full texthttp://www.tandfonline.com/doi/abs/10.1080/07474938.2014.977077

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