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The local power of the CADF and CIPS panel unit root tests

Westerlund, Joakim, Hosseinkouchack, Mehdi and Solberger, Martin 2016, The local power of the CADF and CIPS panel unit root tests, Econometric reviews, vol. 35, no. 5, pp. 845-870.

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Title The local power of the CADF and CIPS panel unit root tests
Author(s) Westerlund, Joakim
Hosseinkouchack, Mehdi
Solberger, Martin
Journal name Econometric reviews
Volume number 35
Issue number 5
Start page 845
End page 870
Total pages 26
Publisher Taylor & Francis
Place of publication London, Eng.
Publication date 2016
ISSN 0747-4938
1532-4168
Keyword(s) Common factor model
Cross-sectional averages
Cross-sectional dependence
Local asymptotic power
Panel unit root test
Summary 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.
Language eng
Field of Research 1403 Econometrics
150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30079874

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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