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Optimal Panel Unit Root Testing with Covariates

Joudis, Arturas and Westerlund, Joakim LU (2019) In Econometrics Journal 22(1). p.57-72
Abstract
This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. In fact, the use of the covariates not only leads to increased power, but can actually have an order effect on the shrinking neighborhoods around unity for which power is non‐negligible.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Econometrics Journal
volume
22
issue
1
pages
57 - 72
publisher
Wiley-Blackwell
external identifiers
  • scopus:85067209236
ISSN
1368-423X
DOI
10.1111/ectj.12118
language
English
LU publication?
yes
id
113bfdfa-ff6d-4b89-aaba-702a7ca60d5c
date added to LUP
2018-08-22 16:18:39
date last changed
2019-07-16 03:54:35
@article{113bfdfa-ff6d-4b89-aaba-702a7ca60d5c,
  abstract     = {This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. In fact, the use of the covariates not only leads to increased power, but can actually have an order effect on the shrinking neighborhoods around unity for which power is non‐negligible. },
  author       = {Joudis, Arturas and Westerlund, Joakim},
  issn         = {1368-423X},
  language     = {eng},
  number       = {1},
  pages        = {57--72},
  publisher    = {Wiley-Blackwell},
  series       = {Econometrics Journal},
  title        = {Optimal Panel Unit Root Testing with Covariates},
  url          = {http://dx.doi.org/10.1111/ectj.12118},
  volume       = {22},
  year         = {2019},
}