I. G. Becheri, F. C. Drost, Ramon Van den Akker, Oliver Wichert
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引用次数: 3
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.
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