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Full-Text Articles in Social and Behavioral Sciences
Incidental Trends And The Power Of Panel Unit Root Tests, Hyungsik Roger Moon, Benoit Perrron, Peter C. B. Phillips
Incidental Trends And The Power Of Panel Unit Root Tests, Hyungsik Roger Moon, Benoit Perrron, Peter C. B. Phillips
Research Collection School Of Economics
The asymptotic local power of various panel unit root tests is investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t-test, the Ploberger and Phillips [2002. Optimal testing for unit roots in panel data. Mimeo] test, and a point optimal test in neighborhoods of unity that are of order n-1/4T-1 and n-1/2T-1, depending on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative hypothesis is homogeneous across individuals, it is shown that the point optimal test …
Bias In Dynamic Panel Estimation With Fixed Effects, Incidental Trends And Cross Section Dependence, Peter C. B. Phillips, Donggyu Sul
Bias In Dynamic Panel Estimation With Fixed Effects, Incidental Trends And Cross Section Dependence, Peter C. B. Phillips, Donggyu Sul
Research Collection School Of Economics
Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N --> ∞. The results extend earlier work by Nickell [1981. Biases in dynamic models with fixed effects. Econometrica 49, 1417-1426] and later authors in several directions that are relevant for practical work, including models with unit roots, deterministic trends, predetermined and exogenous regressors, and errors that may be cross sectionally dependent. The asymptotic bias is found to be so large when incidental linear trends are fitted and the time series sample size is small that it changes the sign of the autoregressive …