Local power of panel unit root tests allowing for structural breaks
研究了允许个体效应或趋势存在结构突变的固定T面板单位根检验的渐近局部势，推导了局部备择下的极限分布，并发现检验在包含个体截距时具有非平凡局部势，但在包含趋势时势变弱，除非考虑误差序列相关或截面相关。
The asymptotic local power of least squares–based fixed-T panel unit root tests allowing for a structural break in their individual effects and/or incidental trends of the AR(1) panel data model is studied. Limiting distributions of these tests are derived under a sequence of local alternatives, and analytic expressions show how their means and variances are functions of the break date and the time dimension of the panel. The considered tests have nontrivial local power in a N−1/2 neighborhood of unity when the panel data model includes individual intercepts. For panel data models with incidental trends, the power of the tests becomes trivial in this neighborhood. However, this problem does not always appear if the tests allow for serial correlation in the error term and completely vanishes in the presence of cross-section correlation. These results show that fixed-T tests have very different theoretical properties than their large-T counterparts. Monte Carlo experiments demonstrate the usefulness of the asymptotic theory in small samples.