Deakin University
Browse

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

report
posted on 2014-01-01, 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 paper derives the local asymptotic power functions of the CADF and CIPS tests of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265?312, 2007), which are among the most popular tests around.

History

Pagination

1-36

Language

eng

Notes

School working paper (Deakin University. School of Accounting, Economics and Finance) ; 2014/05 Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This paper derives the local asymptotic power functions of the CADF and CIPS tests of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265?312, 2007), which are among the most popular tests around.

Publication classification

CN.1 Other journal article

Copyright notice

2014, The Authors

Publisher

Deakin University, School of Accounting, Economics and Finance

Place of publication

Geelong, Vic.

Series

School Working Paper - Financial Econometrics Series ; SWP 2014/05

Usage metrics

    Research Publications

    Categories

    No categories selected

    Keywords

    Panel unit root testcommon factor modelcross-sectional averagescrosssectional dependencelocal asymptotic powerRePEc:dkn:ecomet:fe_2014_05

    Licence

    All Rights Reserved

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC