Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Optimal Panel Unit Root Testing with Covariates
Author
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