Skip to main content

Lund University Publications

LUND UNIVERSITY LIBRARIES

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.
Please use this url to cite or link to this publication:
author
; and
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
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}},
}