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

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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.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
Sidor (från-till)845-870
TidskriftEconometric Reviews
Volym35
Utgåva nummer5
StatusPublished - 2016
PublikationskategoriForskning
Peer review utfördJa