Faculty of Economics and Business Administration Publications Database

The Local Power of the CADF and CIPS Panel Unit Root Tests

Authors:
Westerlund, Joakim
Solberger, Martin
Source:
Pages: 1 - 26
ISSN-Print: 0747-4938
Link External Source: Online Version
Year: 2015
Keywords: Common factor model; Cross-sectional averages; Cross-sectional dependence; Local asymptotic power; Panel unit root test
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.

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