On the breitung test for panel unit roots and local asymptotic power

Econometric Theory

Volumn 22, Issue 6, 2006, Pages 1179-1190

  Moon, H R ^a   Perron, B ^b   Phillips, P C B ^c  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b UNIVERSITÉ DE MONTRÉAL   (Canada)

^c YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33845735935     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466606060555     Document Type: Article

References (11)

1. Baltagi, B.H. & C. Kao (2000) Nonstationary panels, cointegration in panels and dynamic panels: A survey. In B.H. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Advances in Econometrics, vol. 5, 7-51. JAI.
2. Breitung, J. (2000) The local power of some unit root tests for panel data. In B.H. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Advances in Econometrics, vol. 15, 161-178. JAI.
3. Breitung, J. & M.H. Pesaran (2005) Unit roots and cointegration in panels. Forthcoming in L. Matyas & P. Sevestre (eds.), The Econometrics of Panel Data, 3rd ed. Kluwer Academic Publishers. Available at http://www.econ.cam.ac.uk/faculty/pesaran/panelUnitCoin05November05.pdf.
4. Choi, I. (2004) Nonstationary Panels. Forthcoming in Palgrave Handbook of Econometrics, vol. 1. Available at http://ihome.ust.hk/~inchoi/InChoiRev3.pdf.
5. Hurlin, C. & V. Mignon (2004) Second Generation Panel Unit Root Tests. Mimeo, THEMA-CNRS, Université de Paris X. Available at http://thema.u-paris10.fr/papers/2004-21Mignon.pdf.
6. Levin, A., F. Lin, & C. Chu (2002) Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics 108, 1-24.
7. Moon, H.R., B. Perron, & P.C.B. Phillips (2005) Incidental Trends and the Power of Panel Unit Root Tests. Mimeo. Available at http://mapageweb. umontreal.ca/perrob/power.pdf.
8. Moon, H.R., B. Perron, & P.C.B. Phillips (2006) On the Breitung Test for Panel Unit Roots and Local Asymptotic Power - Further Calculations. Mimeo. Available at http://mapageweb.umontreal.ca/perrob/breitung_appendix.pdf.
9. Moon, H.R. & P.C.B. Phillips (2004) GMM estimation of autoregressive roots near unity with panel data. Econometrica 12, 467-522.
10. Phillips, P.C.B. & H.R. Moon (1999) Linear regression limit theory for nonstationary panel data. Econometrica 67, 1057-1111.
11. Ploberger, W. & P.C.B. Phillips (2002) Optimal Testing for Unit Roots in Panel Data. Mimeo, Yale University.