A fixed-T version of Breitung’s panel data unit root test

Yiannis Karavias and Elias Tzavalis

Economics Letters, 2014, vol. 124, issue 1, 83-87

Abstract: We extend Breitung’s (2000) panel data unit root test to the case of fixed time (T) dimension while still allowing for heteroscedastic and serially correlated error terms. The analytic local power function of the new test is derived assuming that only the cross section dimension of the panel grows large. It is found that, if the errors are serially correlated, the test has non-trivial power. Monte Carlo experiments show that the suggested test is more powerful when the number of cross section units is moderate or large, regardless of the number of time series observations.

Keywords: Panel unit root; Local power function; Serial correlation; Incidental trends (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:1:p:83-87

DOI: 10.1016/j.econlet.2014.04.029

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