Economics, Econometrics and Finance
8 years ago

New panel unit root tests reveal hidden power in small samples

Econometric Reviews
Local power of panel unit root tests allowing for structural breaks
Yiannis Karavias, Elias Tzavalis

Paper Summary

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The article explores how well certain tests can detect changes in data patterns over time. These tests are good at finding breaks in trends when looking at groups of data together, but not as good when looking at trends within each group. The tests work better when there is a connection between different groups of data. The study shows that these tests work differently depending on the size of the data set and the type of data being analyzed. Overall, the tests are more effective in larger data sets and when there is a relationship between different groups of data.