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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書目詳細資料
Main Authors:	MOON, Hyungsik Roger, PERRRON, Benoit, PHILLIPS, Peter C. B.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2007
主題:	Asymptotic power envelope Common point optimal test Incidental trends Local asymptotic power function Panel unit root test Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/286 https://ink.library.smu.edu.sg/context/soe_research/article/1285/viewcontent/power_2006.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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