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

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.

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Authors:	Westerlund, Joakim ; Hosseinkouchack, Mehdi ; Solberger, Martin
Institutions:	Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
Subject:	Panel unit root test \| common factor model \| cross-sectional averages \| crosssectional dependence \| local asymptotic power

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Extent:	application/pdf
Series:	Financial Econometics Series.
Type of publication:	Book / Working Paper
Notes:	Number 2014_05
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010741272