Local power of panel unit root tests allowing for structural breaks

DOI10.1080/07474938.2015.1059722MaRDI QIDQ5864633zbMATH OpenOpenAlexFDO

Authors Yiannis Karavias, Elias Tzavalis

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://pure-oai.bham.ac.uk/ws/files/22594954/Karavias_2016A.pdf

zbMATH Keywords

bias correctioncross-section correlationfixed \(T\)incidental trendsstrong factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
• A fixed-\(T\) version of Breitung's panel data unit root test
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Breaking the panels: An application to the GDP per capita
• Common breaks in means and variances for panel data
• Cross-Sectional Dependence in Panel Data Analysis
• Incidental trends and the power of panel unit root tests
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• Model specification in panel data unit root tests with an unknown break
• On testing for unit roots and the initial observation
• Panel Data Econometrics
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• Testing for a unit root in panels with dynamic factors
• Testing for Autocorrelation in Dynamic Random Effects Models
• Testing for structural breaks in dynamic factor models
• Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
• Testing for unit roots in short panels allowing for a structural break
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests

Cited in

(2)

• The power of unit root tests against nonlinear local alternatives
• The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

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