Rethinking the univariate approach to panel unit root testing: using covariates to resolve the incidental trend problem
Data(s) |
01/01/2015
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Resumo |
In an influential article, Hansen showed that covariate augmentation can lead to substantial power gains when compared to univariate tests. In this article, we ask if this result extends also to the panel data context? The answer turns out to be yes, which is maybe not that surprising. What is surprising, however, is the extent of the power gain, which is shown to more than outweigh the well-known power loss in the presence of incidental trends. That is, the covariates have an order effect on the neighborhood around unity for which local asymptotic power is negligible. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Taylor & Francis |
Relação |
http://dro.deakin.edu.au/eserv/DU:30077703/westerlund-rethinkingtheunivariate-2015.pdf http://www.dx.doi.org/10.1080/07350015.2014.962697 |
Direitos |
2015, American Statistical Association |
Palavras-Chave | #Covariates #Incidental trends #Local asymptotic power #Panel data #Unit root test #Social Sciences #Science & Technology #Physical Sciences #Economics #Social Sciences, Mathematical Methods #Statistics & Probability #Business & Economics #Mathematical Methods In Social Sciences #Mathematics #CROSS-SECTION DEPENDENCE #POWER |
Tipo |
Journal Article |