presence of incidental trends in panel unit root test setting is ubiquitous. …

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under …}, depending on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative …

unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by … true localizing parameter is zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are …

We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross …

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel … data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a … common time period for all units. However, this approach can be costly in terms of lost information. Instead, existing panel …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …

In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for … with respect to other popular panel approaches. A procedure to compute the asymptotic p-values of Hansen’s CADF test is … hypothesis and the presence of a unit root in international industrial production indices. -- unit root ; panel data …

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are …

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are …