Logo
Munich Personal RePEc Archive

On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors

Karavias, Yiannis and Tzavalis, Elias (2012): On the Local Power of Fixed T Panel Unit Root Tests with Serially Correlated Errors.

[thumbnail of MPRA_paper_43131.pdf]
Preview
PDF
MPRA_paper_43131.pdf

Download (322kB) | Preview

Abstract

Analytical asymptotic local power functions are employed to study the effects of general form short term serial correlation on �fixed-T panel data unit root tests. Two models are considered, one that has only individual intercepts and one that has both individual intercepts and individual trends. It is shown that tests based on IV estimators are more powerful in all cases examined. Even more, for the model with individual trends an IV based test is shown to have non-trivial local power at the natural root-N rate.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.