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

Gaia Becheri, Feico Drost, Ramon van den Akker, O. 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
JournalStatistics & probability letters
Volume108
DOIs
Publication statusPublished - Jan 2016

Keywords

  • panel unit root test
  • local asymptotic normality
  • limit experiment
  • asymptotic power envelope

Fingerprint Dive into the research topics of 'The power envelope of panel unit root tests in case stationary alternatives offset explosive ones'. Together they form a unique fingerprint.

  • Cite this