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

Joakim Westerlund · Mehdi Hosseinkouchack · Martin Solberger

73 citations0/0 files storedEconometric Reviews

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Spatial and Panel Data Analysis Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

Abstract

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.

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References

2003Testing for unit roots in heterogeneous panels 2007A simple panel unit root test in the presence of cross‐section dependence 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure 2004A PANIC Attack on Unit Roots and Cointegration 2004Testing for a unit root in panels with dynamic factors 2008Unit Roots and Cointegration in Panels 2013Panel unit root tests in the presence of a multifactor error structure 2009PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION

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