Incidental Trends and the Power of Panel Unit Root Tests

Incidental Trends and the Power of Panel Unit Root Tests

The asymptotic local power of various panel unit root tests is investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t-test, the Ploberger and Phillips [2002. Optimal testi...

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Bibliographic Details
Main Authors: MOON, Hyungsik Roger, PERRRON, Benoit, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Asymptotic power envelope
Common point optimal test
Incidental trends
Local asymptotic power function
Panel unit root test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/286
https://ink.library.smu.edu.sg/context/soe_research/article/1285/viewcontent/power_2006.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/286
https://ink.library.smu.edu.sg/context/soe_research/article/1285/viewcontent/power_2006.pdf

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