The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

IG Becheri, Feike C. Drost, Ramon van den Akker, Oliver Wichert

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)1-8
Number of pages8
JournalStatistics & Probability Letters
Volume108
DOIs
Publication statusPublished - 2016

Keywords

  • Panel unit root test
  • Local Asymptotic Normality
  • Limit experiment
  • Asymptotic power envelope

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