The Local Power of the CADF and CIPS Panel Unit Root Tests
Research output: Contribution to journal › Article
Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This article derives the local asymptotic power functions of the cross-section argumented Dickey–Fuller Cross-section Augmented Dickey-Fuller (CADF) and CIPS tests of Pesaran (2007), which are among the most popular tests around.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Publication status||Published - 2016|