Optimal Panel Unit Root Testing with Covariates

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. In fact, the use of the covariates not only leads to increased power, but can actually have an order effect on the shrinking neighborhoods around unity for which power is non‐negligible.

Detaljer

Författare
Enheter & grupper
Externa organisationer
  • University of Groningen
  • Deakin University
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi
Originalspråkengelska
Sidor (från-till)57-72
TidskriftEconometrics Journal
Volym22
Utgåva nummer1
Tidigt onlinedatum2018 aug 3
StatusPublished - 2019
PublikationskategoriForskning
Peer review utfördJa