Efficient tests for autoregressive unit roots in panel data

David Bowman
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David Bowman: https://www.federalreserve.gov/econres/david-bowman.htm

No 646, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series will be partially characterized. Using this characterization, several recently suggested tests are shown to be inadmissable. Since the sufficient statistic for this testing problem is multidimensional, there is no uniformly most powerful test; however, in light of the inadmissability result, a new test is proposed that appears to do well relative to existing tests. The test is parameterized in a way that allows the choice of different directional deviations from the null hypothesis over which power is to be maximized, giving added flexibility to researchers.

Keywords: Econometric models; time series analysis (search for similar items in EconPapers)
Date: 1999
New Economics Papers: this item is included in nep-ecm and nep-ets
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