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COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS

Published online by Cambridge University Press:  18 September 2018

Katsuto Tanaka
Katsuto Tanaka*
Affiliation:
Gakushuin University
*
*Address correspondence to Katsuto Tanaka, Faculty of Economics, Gakushuin University, Mejiro, Toshima-ku, Tokyo 171-8588, Japan; e-mail: katsuto.tanaka@gakushuin.ac.jp.
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Abstract

The present article discusses panel unit root tests for two classes of models. One is the moving average (MA) model and the other is the error components model. We conduct score type tests for these models, allowing for various types of regressors, and examine the cross-sectional effect explicitly by presenting an efficient way of computing limiting local powers. It is found that the existence of common regressors does not affect the asymptotic behavior of tests, although heterogeneous regressors do. We also derive the limiting power envelopes for some simple panel models, which shows that the score type panel tests are asymptotically efficient, unlike the time series case.

Type
ARTICLES
Information
Econometric Theory , Volume 35 , Issue 5 , October 2019 , pp. 978 - 1011
Copyright
Copyright © Cambridge University Press 2018 

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Footnotes

I thank the editor Peter C.B. Phillips, the co-editor Guido Kuersteiner, and three anonymous referees for helpful comments, which greatly improved a previous version of the article.

References

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