ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER

2006 ◽  
Vol 22 (06) ◽  
Author(s):  
H.R. Moon ◽  
B. Perron ◽  
P.C.B. Phillips
Keyword(s):  
Unit Roots ◽  
Asymptotic Power ◽  
Panel Unit Roots ◽  
Local Asymptotic Power

ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES

2014 ◽  
Vol 31 (3) ◽  
pp. 539-559 ◽  
Author(s):  
I. Gaia Becheri ◽  
Feike C. Drost ◽  
Ramon van den Akker
Keyword(s):  
Unit Root ◽  
Generalized Least Squares ◽  
Applied Economics ◽  
Unit Root Tests ◽  
Finite Sample ◽  
Asymptotic Power ◽  
Optimal Tests ◽  
Independent Panel ◽  
Local Asymptotic Power ◽  
Uniformly Most Powerful

In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007, Journal of Econometrics 141, 416–459) present an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests. In case of homogeneous alternatives this envelope is known to be sharp, but this paper shows that it is not attainable for heterogeneous alternatives. Using limit experiment theory we derive a sharp power envelope. We also demonstrate that, among others, one of the likelihood ratio based tests in Moon et al. (2007, Journal of Econometrics 141, 416–459), a pooled generalized least squares (GLS) based test using the Breitung and Meyer (1994, Applied Economics 25, 353–361) device, and a new test based on the asymptotic structure of the model are all asymptotically UMP (Uniformly Most Powerful). Thus, perhaps somewhat surprisingly, pooled regression-based tests may yield optimal tests in case of heterogeneous alternatives. Although finite-sample powers are comparable, the new test is easy to implement and has superior size properties.

scholarly journals An Intersection Test for Panel Unit Roots

2012 ◽  
Vol 32 (2) ◽  
pp. 183-203 ◽  
Author(s):  
Christoph Hanck
Keyword(s):  
Unit Roots ◽  
Panel Unit Roots ◽  
Intersection Test

Trade and Convergence: Empirical Evidence from BRICS Countries

2021 ◽  
pp. 097215092199305
Author(s):  
Kuldeep Kumar Lohani
Keyword(s):  
Trade Liberalization ◽  
Convergence Rates ◽  
Unit Roots ◽  
Income Convergence ◽  
Conditional Convergence ◽  
Panel Unit Roots ◽  
Brics Countries ◽  
Trading Partners ◽  
Single Difference ◽  
Economic Bloc

The present article attempts to analyse trade and per capita income convergence for the BRICS countries. The effects of economic bloc formation on their trade and income distribution or convergence (divergence) among the countries have been analysed. To observe the effect of trade on convergence rates, intra-trade group, single difference approach and panel unit roots tests have been used. The convergence measure is estimated between BRICS countries and their major trading partners from post-trade liberalization period. The study revealed that BRICS countries converged over the study period. However, the evidence on post-BRICS economic bloc formation shows an insignificant relationship. The results of the analysis of post-trade liberalization of BRICS countries vary among the BRICS countries. Further, panel unit roots test results confirm that conditional convergence is taking place within BRICS bloc and all export-based groups except for Indian economy and import-based groups. Besides, absolute convergence has been confirmed for all the groups. Thus, the study suggests the need of BRICS countries to actively engage in trade and investment activities.

THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

1999 ◽  
Vol 15 (5) ◽  
pp. 704-709 ◽  
Author(s):  
Jonathan H. Wright
Keyword(s):  
Time Series ◽  
Sample Size ◽  
Fractional Integration ◽  
Empirical Work ◽  
Local Alternatives ◽  
Asymptotic Power ◽  
Rescaled Range ◽  
Partial Sum Process ◽  
Local Asymptotic Power ◽  
Range Test

It is possible to construct a test of the null of no fractional integration that has nontrivial asymptotic power against a sequence of alternatives specifying that the series is I(d) with d = O(T−1/2), where T is the sample size. In this paper, I show that tests for fractional integration that are based on the partial sum process of the time series have only trivial asymptotic power (i.e., equal to the size) against this sequence of local alternatives. These tests include the rescaled-range test. In this sense, despite its widespread use in empirical work, the rescaled-range test is a poor test for fractional integration.

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