Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects

DOI10.1111/J.1368-423X.2008.00236.XzbMath1135.91413MaRDI QIDQ3499430

Benoit Perron, Hyungsik Roger Moon

Publication date: 29 May 2008

Published in: The Econometrics Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (18)

Testing for unit roots in short panels allowing for a structural break ⋮ Incidental trends and the power of panel unit root tests ⋮ Lessons from a Decade of IPS and LLC ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends ⋮ Testing for a unit root in a random coefficient panel data model ⋮ On the Use of GLS Demeaning in Panel Unit Root Testing ⋮ Mean group tests for stationarity in heterogeneous panels ⋮ Sampling at different frequencies, and the power of panel unit root tests ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES ⋮ The effect of recursive detrending on panel unit root tests ⋮ The power of PANIC ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization ⋮ The Local Power of the CADF and CIPS Panel Unit Root Tests ⋮ Local power of panel unit root tests allowing for structural breaks ⋮ A simple test for nonstationarity in mixed panels: a further investigation ⋮ New tools for understanding the local asymptotic power of panel unit root tests ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Cites Work

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• Incidental trends and the power of panel unit root tests
• Exploiting cross-section variation for unit root inference in dynamic data
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Testing for a unit root in panels with dynamic factors
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Linear Regression Limit Theory for Nonstationary Panel Data
• Efficient Tests for an Autoregressive Unit Root
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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