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The Local Power of the CADF and CIPS Panel Unit Root Tests

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Author

Summary, in English

Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This article derives the local asymptotic power functions of the cross-section argumented Dickey–Fuller Cross-section Augmented Dickey-Fuller (CADF) and CIPS tests of Pesaran (2007), which are among the most popular tests around.

Publishing year

2016

Language

English

Pages

845-870

Publication/Series

Econometric Reviews

Volume

35

Issue

5

Document type

Journal article

Publisher

Taylor & Francis

Topic

  • Economics

Keywords

  • crosssectional dependence
  • cross-sectional averages
  • Panel unit root test
  • common factor model
  • local asymptotic power

Status

Published

ISBN/ISSN/Other

  • ISSN: 0747-4938