Journal
ECONOMETRIC REVIEWS
Volume 35, Issue 5, Pages 845-870Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/07474938.2014.977077
Keywords
Common factor model; Cross-sectional averages; Cross-sectional dependence; Local asymptotic power; Panel unit root test
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Funding
- Wallenberg Academy Fellowship
- Jan Wallander and Tom Hedelius Foundation [P2014-0112:1]
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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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