The local power of the CADF and CIPS panel unit root tests
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Other versions of this item:
- Joakim Westerlund & Mehdi Hosseinkouchack & Martin Solberger, 2016. "The Local Power of the CADF and CIPS Panel Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 845-870, May.
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- 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.
- 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
KeywordsPanel unit root test; common factor model; cross-sectional averages; crosssectional dependence; local asymptotic power;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-15 (All new papers)
- NEP-ECM-2014-02-15 (Econometrics)
- NEP-ETS-2014-02-15 (Econometric Time Series)
- NEP-SOG-2014-02-15 (Sociology of Economics)
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