This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jump … 4 provides the power envelope for tests of the unit root hypothesis in Gaussian panel data models with cross …

In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and … for heterogeneous alternatives. Using limit experiment theory we derive a sharp power envelope. We also demonstrate that …