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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.

ISSN

0747-4938

eISSN

1532-4168

Language

English

Publication classification

C Journal article, C1 Refereed article in a scholarly journal

Copyright notice

2016, Taylor & Francis

Issue

5

Publisher

TAYLOR & FRANCIS INC