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

doi:10.1016/j.spl.2015.09.019

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

Statistics

Research output: Contribution to journal › Article › Scientific › peer-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 language	English
Pages (from-to)	1-8
Number of pages	8
Journal	Statistics & Probability Letters
Volume	108
DOIs	https://doi.org/10.1016/j.spl.2015.09.019
Publication status	Published - 2016

Keywords

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

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10.1016/j.spl.2015.09.019

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title = "The power envelope of panel unit root tests in case stationary alternatives offset explosive ones",

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.",

keywords = "Panel unit root test, Local Asymptotic Normality, Limit experiment, Asymptotic power envelope",

author = "IG Becheri and Drost, {Feike C.} and {van den Akker}, Ramon and Oliver Wichert",

year = "2016",

doi = "10.1016/j.spl.2015.09.019",

language = "English",

volume = "108",

pages = "1--8",

journal = "Statistics & Probability Letters",

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T1 - The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

AU - Becheri, IG

AU - Drost, Feike C.

AU - van den Akker, Ramon

AU - Wichert, Oliver

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

KW - Panel unit root test

KW - Local Asymptotic Normality

KW - Limit experiment

KW - Asymptotic power envelope

U2 - 10.1016/j.spl.2015.09.019

DO - 10.1016/j.spl.2015.09.019

M3 - Article

SN - 0167-7152

VL - 108

SP - 1

EP - 8

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

ER -

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

Abstract

Keywords

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