Incidental trends and the power of panel unit root tests

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 416-459

  Moon, Hyungsik Roger ^a   Perron, Benoit ^b   Phillips, Peter C B ^c,d,e  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b Université Laval   (Canada)

^c YALE UNIVERSITY   (United States)

^d UNIVERSITY OF AUCKLAND   (New Zealand)

^e UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Asymptotic power envelope; Common point optimal test; Incidental trends; Local asymptotic power function; Panel unit root test

Indexed keywords

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; FUNCTION EVALUATION;

ASYMPTOTIC POWER ENVELOPE; COMMON POINT OPTIMAL TEST; INCIDENTAL TRENDS; LOCAL ASYMPTOTIC POWER FUNCTION; PANEL UNIT ROOT TEST;

ROOT LOCI;

EID: 34248143514     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.10.003     Document Type: Article

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