New tools for understanding the local asymptotic power of panel unit root tests

DOI10.1016/j.jeconom.2015.03.043zbMath1337.62283OpenAlexW2020727753MaRDI QIDQ2354858

Joakim Westerlund, Rolf Larsson

Publication date: 27 July 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.043

zbMATH Keywords

panel unit root testlocal asymptotic powermoment expansioninfinite-order approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

The factor analytical approach in near unit root interactive effects panels, The factor analytical approach in trending near unit root panels, Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends, The power of PANIC, A simple test for nonstationarity in mixed panels with incidental trends, A simple test for nonstationarity in mixed panels: a further investigation

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