Lahiri, Kajal; Liang, Zhongwen; Peng, Huaming - 2017 - This version: Nov. 8, 2016
This paper investigates the asymptotic local power of the the averaged t-test of Im, Pesaran and Shin (2003, IPS hereafter) in the presence of both initial explosive conditions and incidental trends. By utilizing the least squares detrending methods, it is found that the initial condition plays...