SMS scnews item created by Andrew Mathas at Wed 1 May 2013 1254
Type: Seminar
Modified: Wed 1 May 2013 1255; Wed 1 May 2013 1415
Distribution: World
Expiry: 10 May 2013
Calendar1: 10 May 2013 1200-1300
CalLoc1: AGR Carslaw 829
CalTitle1: AGR Seminar: Asymptotic redundance results for the use of GLS detrending in panel unit root testing
Auth: mathas@pmathas.pc (assumed)

AGR Seminar

Asymptotic redundance results for the use of GLS detrending in panel unit root testing

Professor Joakim Westerlund (Deakin University)

Host venue
La Trobe University

Abstract
One of the most well-known facts about unit root testing is that the Dickey-Fuller test based on OLS detrended data suffers from low power, and that the use of GLS detrending can lead to substantial power gains. The present paper shows how the use of GLS rather than OLS detrended data when testing for a unit root in panels not only leads to reduced power, but actually has an order effect on the neighbourhood around unit for which locala symptotic power is negligible.

Seminar convenor
Dr Andriy Olenko

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If you would like to attend this seminar in our access grid room then please check to see if the grid is already booked at this time and send an email to accessgridroom@maths.usyd.edu.au to let the CSOs know that you would like to attend.


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