The Local Power of the CADF and CIPS Panel Unit Root Tests
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588901
- author
- Westerlund, Joakim LU ; Hosseinkouchack, Mehdi and Solberger, Martin
- organization
- publishing date
- 2016
- 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
- 2016-04-01 14:19:42
- date last changed
- 2022-04-06 18:01:11
@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}}, keywords = {{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}}, doi = {{10.1080/07474938.2014.977077}}, volume = {{35}}, year = {{2016}}, }