LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS

DOI10.1017/S0266466609090768zbMath1181.62132OpenAlexW2171918968MaRDI QIDQ5187630

No author found.

Publication date: 26 February 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609090768

zbMATH Keywords

unit rootpanel modelIPS statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (12)

Lessons from a Decade of IPS and LLC ⋮ Panel unit root tests in the presence of a multifactor error structure ⋮ Unit root inference in panel data models where the time‐series dimension is fixed: a comparison of different tests ⋮ Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends ⋮ Testing for a unit root in a random coefficient panel data model ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES ⋮ Nonparametric rank tests for non-stationary panels ⋮ The power of PANIC ⋮ Unit root tests for cross-sectionally dependent panels: the influence of observed factors ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization ⋮ The Local Power of the CADF and CIPS Panel Unit Root Tests ⋮ Local power of panel unit root tests allowing for structural breaks

Cites Work

• Unnamed Item
• Incidental trends and the power of panel unit root tests
• Testing for unit roots in heterogeneous panels.
• Towards a unified asymptotic theory for autoregression
• Testing For Unit Roots: 1
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation

This page was built for publication: LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS