The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

DOI10.1016/J.SPL.2015.09.019MaRDI QIDQ893440zbMATH OpenOpenAlexFDO

Authors I. Gaia Becheri, Feike C. Drost, Ramon van den Akker, Oliver Wichert

Publication date 19 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.09.019

zbMATH Keywords

panel unit root testlocal asymptotic normalitylimit experimentasymptotic power envelope

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05)

Recommendations

• On the power and interpretation of panel unit root tests
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• Optimal tests against the alternative hypothesis of panel unit roots
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Cites work

• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• Asymptotic Statistics
• Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
• Incidental trends and the power of panel unit root tests
• The Maxima of the Mean Largest Value and of the Range

Cited in

(5)

• Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
• Computing limiting local powers and power envelopes of panel MA unit root tests and stationarity tests
• Incidental trends and the power of panel unit root tests
• Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
• Asymptotic behaviour of tests for a unit root against an explosive alternative

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