Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Optimal Panel Unit Root Testing with Covariates
Författare
Summary, in English
This paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. In fact, the use of the covariates not only leads to increased power, but can actually have an order effect on the shrinking neighborhoods around unity for which power is non‐negligible.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2019
Språk
Engelska
Sidor
57-72
Publikation/Tidskrift/Serie
Econometrics Journal
Volym
22
Issue
1
Dokumenttyp
Artikel i tidskrift
Förlag
Oxford University Press
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1368-423X