Incidental Trends and the Power of Panel Unit Root Tests

• 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
• Institution: Singapore Management University

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...