Optimal Panel Unit Root Testing with Covariates
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/113bfdfa-ff6d-4b89-aaba-702a7ca60d5c
- author
- Joudis, Arturas and Westerlund, Joakim LU
- organization
- publishing date
- 2019
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Econometrics Journal
- volume
- 22
- issue
- 1
- pages
- 57 - 72
- publisher
- Oxford University Press
- 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
- 2022-04-25 08:45:12
@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 = {{Oxford University Press}}, series = {{Econometrics Journal}}, title = {{Optimal Panel Unit Root Testing with Covariates}}, url = {{http://dx.doi.org/10.1111/ectj.12118}}, doi = {{10.1111/ectj.12118}}, volume = {{22}}, year = {{2019}}, }