IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v35y2019i05p978-1011_00.html
   My bibliography  Save this article

Computing Limiting Local Powers And Power Envelopes Of Panel Ma Unit Root Tests And Stationarity Tests

Author

Listed:
  • Tanaka, Katsuto

Abstract

The present article discusses panel unit root tests for two classes of models. One is the moving average (MA) model and the other is the error components model. We conduct score type tests for these models, allowing for various types of regressors, and examine the cross-sectional effect explicitly by presenting an efficient way of computing limiting local powers. It is found that the existence of common regressors does not affect the asymptotic behavior of tests, although heterogeneous regressors do. We also derive the limiting power envelopes for some simple panel models, which shows that the score type panel tests are asymptotically efficient, unlike the time series case.

Suggested Citation

  • Tanaka, Katsuto, 2019. "Computing Limiting Local Powers And Power Envelopes Of Panel Ma Unit Root Tests And Stationarity Tests," Econometric Theory, Cambridge University Press, vol. 35(5), pages 978-1011, October.
    • Handle: RePEc:cup:etheor:v:35:y:2019:i:05:p:978-1011_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466618000324/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:35:y:2019:i:05:p:978-1011_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.