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The local power of the CADF and CIPS panel unit root tests

Author

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  • Westerlund, Joakim
  • Hosseinkouchack, Mehdi
  • Solberger, Martin

Abstract

Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This article derives the local asymptotic power functions of the cross-section argumented Dickey--Fuller Cross-section Augmented Dickey-Fuller (CADF) and CIPS tests of Pesaran (2007), which are among the most popular tests around.
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Suggested Citation

  • Westerlund, Joakim & Hosseinkouchack, Mehdi & Solberger, Martin, 2014. "The local power of the CADF and CIPS panel unit root tests," Working Papers fe_2014_05, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2014_05
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    File URL: http://www.tandfonline.com/doi/full/10.1080/07474938.2014.977077
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    Cited by:

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    7. Mumin Atalay Cetin & Ibrahim Bakirtas, 2020. "The long-run environmental impacts of economic growth, financial development, and energy consumption: Evidence from emerging markets," Energy & Environment, , vol. 31(4), pages 634-655, June.
    8. Shuddhasattwa Rafiq & Ruhul Salim, 2014. "Does oil price volatility matter for Asian emerging economies?," Economic Analysis and Policy, Elsevier, vol. 44(4), pages 417-441.

    More about this item

    Keywords

    Panel unit root test; common factor model; cross-sectional averages; crosssectional dependence; local asymptotic power;
    All these keywords.

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