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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |