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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Optimal Panel Unit Root Testing with Covariates

Author

  • Arturas Joudis
  • Joakim Westerlund

Summary, in English

This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. In fact, the use of the covariates not only leads to increased power, but can actually have an order effect on the shrinking neighborhoods around unity for which power is non‐negligible.

Department/s

  • Department of Economics

Publishing year

2019

Language

English

Pages

57-72

Publication/Series

Econometrics Journal

Volume

22

Issue

1

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 1368-423X