Article ID Journal Published Year Pages File Type
1151298 Statistics & Probability Letters 2016 8 Pages PDF
Abstract

We derive the power envelope for panel unit root tests where heterogeneous alternatives are modeled via zero-expectation random perturbations. We obtain an asymptotically UMP test and discuss how to proceed when one is agnostic about the expectation of the perturbations.

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Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
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