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

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.

Date: 2016
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Working Paper: The local power of the CADF and CIPS panel unit root tests (2014)
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DOI: 10.1080/07474938.2014.977077

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