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On the power and interpretation of panel unit root tests
Journal article   Peer reviewed

On the power and interpretation of panel unit root tests

Sune Karlsson and Mickael Löthgren
Economics letters, Vol.66(3), pp.249-255
2000-03
DOI: https://doi.org/10.1016/S0165-1765(99)00237-2

Abstract

Dynamic panels Monte Carlo Heterogeneity C12 C15 C22 C23
We demonstrate that panel unit root tests can have high power when a small fraction of the series is stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.

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