The Local Power of the CADF and CIPS Panel Unit Root Tests

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Bibtex

@article{665ac414ae0d49a987c2eadbdad1df24,
title = "The Local Power of the CADF and CIPS Panel Unit Root Tests",
abstract = "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.",
keywords = "crosssectional dependence, cross-sectional averages, Panel unit root test, common factor model, local asymptotic power",
author = "Joakim Westerlund and Mehdi Hosseinkouchack and Martin Solberger",
year = "2016",
doi = "10.1080/07474938.2014.977077",
language = "English",
volume = "35",
pages = "845--870",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor & Francis",
number = "5",

}