The Local Power of the CADF and CIPS Panel Unit Root Tests
Joakim Westerlund (),
Mehdi Hosseinkouchack () and
Martin Solberger ()
Econometric Reviews, 2016, vol. 35, issue 5, 845-870
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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Working Paper: The local power of the CADF and CIPS panel unit root tests (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:35:y:2016:i:5:p:845-870
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