Deakin University
Browse

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

journal contribution
posted on 2016-05-27, 00:00 authored by Joakim WesterlundJoakim Westerlund, M Hosseinkouchack, M Solberger
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.

History

Journal

Econometric Reviews

Volume

35

Pagination

845-870

Location

London, Eng.

Publisher DOI

ISSN

0747-4938

eISSN

1532-4168

Language

English

Author URL

Publication classification

C Journal article, C1 Refereed article in a scholarly journal

Copyright notice

2016, Taylor & Francis

Issue

5

Publisher

TAYLOR & FRANCIS INC

Usage metrics

    Research Publications

    Categories

    Keywords

    Social SciencesScience & TechnologyPhysical SciencesEconomicsMathematics, Interdisciplinary ApplicationsSocial Sciences, Mathematical MethodsStatistics & ProbabilityBusiness & EconomicsMathematicsMathematical Methods In Social SciencesCommon factor modelCross-sectional averagesCross-sectional dependenceLocal asymptotic powerPanel unit root testDEPENDENCECommon factor model;Cross-sectional averages;Cross-sectional dependence;Local asymptotic power;Panel unit root test.Centre for Economics and Financial Econometrics Research150202 Financial Econometrics919999 Economic Framework not elsewhere classified3502 Banking, finance and investment3802 Econometrics

    Licence

    All Rights Reserved

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC