Abstract
This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n-1/4T-1 where n and T are the cross-section and time-series dimensions, respectively. This rate is slower than the n-1/2T-1 rate claimed by Breitung. Simulation evidence documents the usefulness of the asymptotic approximations given here.
| Original language | English |
|---|---|
| Pages (from-to) | 1179-1190 |
| Number of pages | 12 |
| Journal | Econometric Theory |
| Volume | 22 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2006 Dec 1 |
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All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics
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On the breitung test for panel unit roots and local asymptotic power. / Moon, Hyungsik Roger; Perron, B.; Phillips, P. C.B.
In: Econometric Theory, Vol. 22, No. 6, 01.12.2006, p. 1179-1190.Research output: Contribution to journal › Article
TY - JOUR
T1 - On the breitung test for panel unit roots and local asymptotic power
AU - Moon, Hyungsik Roger
AU - Perron, B.
AU - Phillips, P. C.B.
PY - 2006/12/1
Y1 - 2006/12/1
N2 - This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n-1/4T-1 where n and T are the cross-section and time-series dimensions, respectively. This rate is slower than the n-1/2T-1 rate claimed by Breitung. Simulation evidence documents the usefulness of the asymptotic approximations given here.
AB - This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n-1/4T-1 where n and T are the cross-section and time-series dimensions, respectively. This rate is slower than the n-1/2T-1 rate claimed by Breitung. Simulation evidence documents the usefulness of the asymptotic approximations given here.
UR - http://www.scopus.com/inward/record.url?scp=33845735935&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33845735935&partnerID=8YFLogxK
U2 - 10.1017/S0266466606060555
DO - 10.1017/S0266466606060555
M3 - Article
AN - SCOPUS:33845735935
VL - 22
SP - 1179
EP - 1190
JO - Econometric Theory
JF - Econometric Theory
SN - 0266-4666
IS - 6
ER -