Drost, Feike C.; Becheri, I.G.; van den Akker, R. - Tilburg University, Center for Economic Research - 2013
Abstract This paper considers optimal unit root tests for a Gaussian cross-sectionally independent heterogeneous panel … local) power envelope for two models: an auxiliary model where both the panel units and the random perturbations are … observed, and the second one, the model of main interest, for which only the panel units are observed. We show that both models …