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

Westerlund, Joakim LU ; Hosseinkouchack, Mehdi and Solberger, Martin (2016) In Econometric Reviews 35(5). p.845-870
Abstract
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.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
crosssectional dependence, cross-sectional averages, Panel unit root test, common factor model, local asymptotic power
in
Econometric Reviews
volume
35
issue
5
pages
845 - 870
publisher
Taylor & Francis
external identifiers
  • wos:000371935700005
  • scopus:84961215279
ISSN
0747-4938
DOI
10.1080/07474938.2014.977077
language
English
LU publication?
yes
id
665ac414-ae0d-49a9-87c2-eadbdad1df24 (old id 4588901)
date added to LUP
2014-08-20 11:31:42
date last changed
2017-01-01 06:10:59
@article{665ac414-ae0d-49a9-87c2-eadbdad1df24,
  abstract     = {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.},
  author       = {Westerlund, Joakim and Hosseinkouchack, Mehdi and Solberger, Martin},
  issn         = {0747-4938},
  keyword      = {crosssectional dependence,cross-sectional averages,Panel unit root test,common factor model,local asymptotic power},
  language     = {eng},
  number       = {5},
  pages        = {845--870},
  publisher    = {Taylor & Francis},
  series       = {Econometric Reviews},
  title        = {The Local Power of the CADF and CIPS Panel Unit Root Tests},
  url          = {http://dx.doi.org/10.1080/07474938.2014.977077},
  volume       = {35},
  year         = {2016},
}