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

DOI10.1080/07474938.2014.977077zbMath1491.62133OpenAlexW1965727372MaRDI QIDQ5864376

Mehdi Hosseinkouchack, Martin Solberger, Joakim Westerlund

Publication date: 7 June 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2014.977077

zbMATH Keywords

panel unit root testlocal asymptotic powercommon factor modelcross-sectional dependencecross-sectional averages

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)

Related Items

The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(\(p\)) errors

Cites Work

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