ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER

DOI10.1017/S0266466606060555zbMath1170.62413OpenAlexW2026006302MaRDI QIDQ3434194

Peter C. B. Phillips, Benoit Perron, Hyungsik Roger Moon

Publication date: 23 April 2007

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060555

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (8)

Lessons from a Decade of IPS and LLC ⋮ Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects ⋮ A Monte Carlo study on the size and power of panel unit root tests ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ Testing for a unit root in a random coefficient panel data model ⋮ The effect of recursive detrending on panel unit root tests ⋮ The power of PANIC ⋮ New tools for understanding the local asymptotic power of panel unit root tests

Cites Work

• Unit root tests in panel data: asymptotic and finite-sample properties
• Linear Regression Limit Theory for Nonstationary Panel Data
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data

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