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

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  • Joakim Westerlund
  • Mehdi Hosseinkouchack
  • Martin Solberger

Abstract

Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This article derives the local asymptotic power functions of the cross-section argumented Dickey--Fuller Cross-section Augmented Dickey-Fuller (CADF) and CIPS tests of Pesaran (2007), which are among the most popular tests around.

Suggested Citation

  • Joakim Westerlund & Mehdi Hosseinkouchack & Martin Solberger, 2016. "The Local Power of the CADF and CIPS Panel Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 845-870, May.
    • Handle: RePEc:taf:emetrv:v:35:y:2016:i:5:p:845-870
    DOI: 10.1080/07474938.2014.977077
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