Sampling at different frequencies, and the power of panel unit root tests
AbstractThis paper analyzes the effect of changing sampling frequencies on the empirical power of "first generation" as well as "second generation" panel unit root tests.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 102 (2009)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/ecolet
Sampling frequency Empirical power Panel unit root tests;
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- In Choi & Bhum Suk Chung, 1995. "Sampling frequency and the power of tests for a unit root: A simulation study," Economics Letters, Elsevier, vol. 49(2), pages 131-136, August.
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- Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003.
"Incidental Trends and the Power of Panel Unit Root Tests,"
Cowles Foundation Discussion Papers
1435, Cowles Foundation for Research in Economics, Yale University.
- Moon, Hyungsik Roger & Perron, Benoit & Phillips, Peter C.B., 2007. "Incidental trends and the power of panel unit root tests," Journal of Econometrics, Elsevier, vol. 141(2), pages 416-459, December.
- Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005. "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers 05.38, Institute of Economic Policy Research (IEPR).
- Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron, 2004. "Incidental Trends and the Power of Panel Unit Root Tests," Yale School of Management Working Papers ysm414, Yale School of Management.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
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NBER Technical Working Papers
0130, National Bureau of Economic Research, Inc.
- Pesaran, M.H., 2003.
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Cambridge Working Papers in Economics
0346, Faculty of Economics, University of Cambridge.
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- MOON, Hyungsik Roger & PERRON, Benoit., 2002.
"Testing for a Unit Root in Panels with Dynamic Factors,"
Cahiers de recherche
2002-18, Universite de Montreal, Departement de sciences economiques.
- Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
- Hyungsik Roger Moon & Benoit Perron, 2008. "Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 80-104, 03.
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