The Power Envelope of Panel Unit Root Tests in Case Stationary Alternatives Offset Explosive Ones

We derive the power envelope for panel unit root tests where heterogeneous alternatives are modeled via zero-expectation random perturbations. We obtain an asymptotically UMP test and discuss how to proceed when one is agnostic about the expectation of the perturbations

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Year of publication:	2015
Authors:	Becheri, I. Gaia
Other Persons:	Drost, Feike C. (contributor) ; Van den Akker, Ramon (contributor) ; Wichert, Oliver (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Einheitswurzeltest \| Unit root test \| Theorie \| Theory

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 23, 2015 erstellt
Other identifiers:	10.2139/ssrn.2664447 [DOI]
Classification:	C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013014914