Westerlund, Joakim; Hosseinkouchack, Mehdi; Solberger, … - Deakin University, Faculty of Business and Law, School …
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,...
