Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096075 | Journal of Econometrics | 2015 | 15 Pages |
Abstract
The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the single most popular and general second-generation approaches around.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Joakim Westerlund,