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


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


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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    Cited by:

    1. 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.
    2. Joakim Westerlund, 2016. "The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR( $$p$$ p ) errors," Statistical Papers, Springer, vol. 57(2), pages 303-317, April.

    More about this item


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

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