Incidental trends and the power of panel unit root tests

DOI10.1016/j.jeconom.2006.10.003zbMath1418.62293OpenAlexW2168558419MaRDI QIDQ289163

Hyungsik Roger Moon, Peter C. B. Phillips, Benoit Perron

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/286

zbMATH Keywords

panel unit root testincidental trendsasymptotic power envelopecommon point optimal testlocal asymptotic power function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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