Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects

Hyungsik Roger Moon () and Benoit Perron ()

Econometrics Journal, 2008, vol. 11, issue 1, pages 80-104

Abstract: . This latter test is equivalent to the well-known pooled t test proposed by Levin et al. (2002, Journal of Econometrics 108, 1--24), and its power depends only on the mean of the local-to-unity parameters. This implies that it has the same power against homogeneous and heterogeneous alternatives with the same mean autoregressive parameter. We then compare these tests to a panel version of the Sargan-Bhargava (1983, Econometrica 51, 153--74) statistic for a unit root and the common point-optimal test of Moon et al. (2007, Journal of Econometrics 141, 416--51). Monte Carlo simulations confirm the usefulness of our local-to-unity framework. Copyright Royal Economic Society 2008

Date: 2008
References: Add references at CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2008.00236.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:11:y:2008:i:1:p:80-104

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring, Alessio Sancetta and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society
Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().