On the power and interpretation of panel unit root tests
We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.
|Date of creation:||04 Feb 1999|
|Date of revision:|
|Publication status:||Published in Economics Letters, 2000, pages 249-255.|
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