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

This paper considers unit-root tests in large n and large T heterogeneous panels with cross-sectional dependence generated by unobserved factors. We reconsider the two prevalent approaches in the literature, that of Moon and Perron (2004) and the PANIC setup proposed in Bai and Ng (2004). While...

This paper considers a heterogeneous panel unit root model with cross-sectional dependence generated by a factor structure – the factor common to all units being an observed covariate. The model is shown to be Locally Asymptotically Mixed Normal (LAMN), with the random part of the limiting...

This paper considers testing for unit roots in Gaussian panels with crosssectional dependence generated by common factors. Within our setup we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon & Perron (2004), who specify a factor model for the...

This paper considers panels with cross-sectional dependence generated by dynamic common factors as introduced by Bai and Ng (2004, 2010) and known as the PANIC framework. Using limit experiment theory, we derive the (asymptotic) power envelope for testing for unit roots in the PANIC framework....

We establish the Local Asymptotic Normality (LAN) property for a class of parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high-frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect...