The local power of the CADF and CIPS panel unit root tests

DOI10.1080/07474938.2014.977077MaRDI QIDQ5864376zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund, Mehdi Hosseinkouchack, Martin Solberger

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.977077

zbMATH Keywords

common factor modelcross-sectional averagescross-sectional dependencelocal asymptotic powerpanel unit root test

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• New tools for understanding the local asymptotic power of panel unit root tests
• The power of PANIC
• On the power and interpretation of panel unit root tests
• Comparison of panel unit root tests under cross sectional dependence
• Panel unit root tests under cross‐sectional dependence

Cites work

• A PANIC attack on unit roots and cointegration.
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Incidental trends and the power of panel unit root tests
• Lessons from a decade of IPS and LLC
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
• Panel unit root tests in the presence of a multifactor error structure
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
• Panel unit root tests with cross-section dependence: a further investigation
• Testing for a unit root in a random coefficient panel data model
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.

Cited in

(4)

• New tools for understanding the local asymptotic power of panel unit root tests
• The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors
• The power of unit root tests against nonlinear local alternatives
• Panel Data Cointegration Testing with Structural Instabilities

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