COMPUTING LIMITING LOCAL POWERS AND POWER ENVELOPES OF PANEL MA UNIT ROOT TESTS AND STATIONARITY TESTS
研究了两类面板模型的单位根检验，提出了计算极限局部势的高效方法，发现共同回归元不影响检验渐近行为，而异质回归元有影响，并推导了简单面板模型的极限势包络，证明得分型面板检验是渐近有效的。
The present article discusses panel unit root tests for two classes of models. One is the moving average (MA) model and the other is the error components model. We conduct score type tests for these models, allowing for various types of regressors, and examine the cross-sectional effect explicitly by presenting an efficient way of computing limiting local powers. It is found that the existence of common regressors does not affect the asymptotic behavior of tests, although heterogeneous regressors do. We also derive the limiting power envelopes for some simple panel models, which shows that the score type panel tests are asymptotically efficient, unlike the time series case.