Cross-Sectional Effects of Common and Heterogeneous Regressors on Asymptotic Properties of Panel Autoregressive Unit Root Tests

Katsuto Tanaka

Gakushuin Economic Papers, 2018, vol. 55, issue 2-3, 35-60

Abstract: The present paper deals with nonstationary panel autoregressive （AR） models, and examines cross-sectional effects of regressors on the asymptotic properties of panel unit root tests for the AR（1） coefficient. We consider various types of common and heterogeneous regressors and compute limiting local powers of tests as T →∞ for each N, where T and N are the time and cross section dimensions, respectively. Dealing with tests based on the ordinary least squares estimator （OLSE） and the generalized LSE（GLSE）, we examine how common and heterogeneous regressors affect the tests as N becomes large. It is shown that the existence of common regressors does not affect the tests asymptotically as N →∞. This means that the power of the tests remains the same even if the model contains common regressors. We further derive the limiting power envelopes of the most powerful invariant （MPI） tests, which yields the conclusion that the GLSE-based tests are asymptotically efficient, unlike the time series case.

Keywords: Asymptotically efficient test; Common regressor; Cross-sectional effect; Heterogeneous regressor; Moment generating function; Numerical integration; Panel unit root tests (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_fil ... anaka/5503tanaka.pdf

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: https://EconPapers.repec.org/RePEc:abc:gakuep:55-23-1

Access Statistics for this article

More articles in Gakushuin Economic Papers from Gakushuin University, Faculty of Economics 1-5-1 Mejiro, Toshima-ku, Tokyo 171-8588 Japan. Contact information at EDIRC.
Bibliographic data for series maintained by administrator ().