Sampling at different frequencies, and the power of panel unit root tests
This 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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- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
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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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- MOON, Hyungsik Roger & PERRON, Benoit., 2002.
"Testing for a Unit Root in Panels with Dynamic Factors,"
Cahiers de recherche
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- 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, 2002. "Testing For A Unit Root In Panels With Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992.
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0130, National Bureau of Economic Research, Inc.
- 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.
- 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, 2003. "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers 1435, Cowles Foundation for Research in Economics, Yale University.
- 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).
- Pesaran, M.H., 2003.
"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
Cambridge Working Papers in Economics
0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- 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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