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

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The Local Power of the CADF and CIPS Panel Unit Root Tests. / Westerlund, Joakim; Hosseinkouchack, Mehdi; Solberger, Martin.

In: Econometric Reviews, Vol. 35, No. 5, 2016, p. 845-870.

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Westerlund, Joakim ; Hosseinkouchack, Mehdi ; Solberger, Martin. / The Local Power of the CADF and CIPS Panel Unit Root Tests. In: Econometric Reviews. 2016 ; Vol. 35, No. 5. pp. 845-870.

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TY - JOUR

T1 - The Local Power of the CADF and CIPS Panel Unit Root Tests

AU - Westerlund, Joakim

AU - Hosseinkouchack, Mehdi

AU - Solberger, Martin

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

KW - crosssectional dependence

KW - cross-sectional averages

KW - Panel unit root test

KW - common factor model

KW - local asymptotic power

U2 - 10.1080/07474938.2014.977077

DO - 10.1080/07474938.2014.977077

M3 - Article

VL - 35

SP - 845

EP - 870

JO - Econometric Reviews

JF - Econometric Reviews

SN - 0747-4938

IS - 5

ER -