On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors
AbstractAnalytical asymptotic local power functions are employed to study the effects of general form short term serial correlation on �fixed-T panel data unit root tests. Two models are considered, one that has only individual intercepts and one that has both individual intercepts and individual trends. It is shown that tests based on IV estimators are more powerful in all cases examined. Even more, for the model with individual trends an IV based test is shown to have non-trivial local power at the natural root-N rate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 43131.
Date of creation: Dec 2012
Date of revision:
Panel data models; unit roots; local power functions; serial correlation; incidental trends;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-15 (All new papers)
- NEP-ECM-2012-12-15 (Econometrics)
- NEP-ETS-2012-12-15 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Edith Madsen, 2010. "Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests," Econometrics Journal, Royal Economic Society, vol. 13(1), pages 63-94, 02.
- Hugo Kruiniger & Elias Tzavalis, 2002.
"Testing for unit roots in short dynamic panels with serially correlated and heteroskedastic disturbance terms,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
B5-1, International Conferences on Panel Data.
- Hugo Kruiniger & Elias Tzavalis, 2002. "Testing for Unit Roots in Short Dynamic Panels with Serially Correlated and Heteroscedastic Disturbance Terms," Working Papers 459, Queen Mary, University of London, School of Economics and Finance.
- Schwert, G William, 1989.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 7(2), pages 147-59, April.
- Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
- Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-74, January.
- Moon, Hyungsik R & Phillips, Peter C B, 1999.
" Maximum Likelihood Estimation in Panels with Incidental Trends,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 61(0), pages 711-47, Special I.
- Moon, Hyungsik & Phillips, Peter C.B., 1999. "Maximum Likelihood Estimation in Panels with Incidental Trends," University of California at Santa Barbara, Economics Working Paper Series qt3f55r5mj, Department of Economics, UC Santa Barbara.
- Hyungsik R. Moon & Peter C.B. Phillips, 1999. "Maximum Likelihood Estimation in Panels with Incidental Trends," Cowles Foundation Discussion Papers 1246, Cowles Foundation for Research in Economics, Yale University.
- Harris, Richard D. F. & Tzavalis, Elias, 1999.
"Inference for unit roots in dynamic panels where the time dimension is fixed,"
Journal of Econometrics,
Elsevier, vol. 91(2), pages 201-226, August.
- Tom Doan, . "HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data," Statistical Software Components RTS00092, Boston College Department of Economics.
- 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.
- 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.
- 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).
- repec:fth:calaec:6-99 is not listed on IDEAS
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Rembert De Blander & Geert Dhaene, 2012. "Unit root tests for panel data with AR(1) errors and small T," Econometrics Journal, Royal Economic Society, vol. 15(1), pages 101-124, 02.
- 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.
- 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.
- Kruiniger, Hugo, 2008. "Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model," Journal of Econometrics, Elsevier, vol. 144(2), pages 447-464, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.