The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Joakim Westerlund. Photo.

Joakim Westerlund

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

Joakim Westerlund. Photo.

The Local Power of the CADF and CIPS Panel Unit Root Tests

Author

  • Joakim Westerlund
  • Mehdi Hosseinkouchack
  • Martin Solberger

Summary, in English

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.

Department/s

  • Department of Economics

Publishing year

2016

Language

English

Pages

845-870

Publication/Series

Econometric Reviews

Volume

35

Issue

5

Document type

Journal article

Publisher

Taylor & Francis

Topic

  • Economics

Keywords

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

Status

Published

ISBN/ISSN/Other

  • ISSN: 0747-4938