The local power of the CADF and CIPS panel unit root tests
| Data(s) |
01/01/2016
|
|---|---|
| Resumo |
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. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Taylor & Francis |
| Relação |
http://dro.deakin.edu.au/eserv/DU:30079874/westerlund-localpowerof-2016.pdf http://dro.deakin.edu.au/eserv/DU:30079874/westerlund-thelocalpower-inpress-2015.pdf http://www.tandfonline.com/doi/full/10.1080/07474938.2014.977077 |
| Palavras-Chave | #Common factor model #Cross-sectional averages #Cross-sectional dependence #Local asymptotic power #Panel unit root test |
| Tipo |
Journal Article |
| Direitos |
2016, Taylor & Francis |
