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The Local Power of the CADF and CIPS Panel Unit Root Tests

  • Joakim Westerlund

    ()

    (Deakin University)

  • Mehdi Hosseinkouchack
  • Martin Solberger

Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This paper derives the local asymptotic power functions of the CADF and CIPS tests of Pesaran (A Simple Panel Unit Root Test in Presence of Cross-Section Dependence, Journal of Applied Econometrics 22, 265–312, 2007), which are among the most popular tests around.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2014_05.pdf
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Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2014_05.

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Handle: RePEc:dkn:ecomet:fe_2014_05
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