{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:20:37Z","timestamp":1759638037253},"reference-count":25,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2014,9,23]],"date-time":"2014-09-23T00:00:00Z","timestamp":1411430400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2015,6]]},"abstract":"<jats:p>In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007, <jats:italic>Journal of Econometrics<\/jats:italic> 141, 416\u2013459) present an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests. In case of homogeneous alternatives this envelope is known to be sharp, but this paper shows that it is not attainable for heterogeneous alternatives. Using limit experiment theory we derive a sharp power envelope. We also demonstrate that, among others, one of the likelihood ratio based tests in Moon et al. (2007, <jats:italic>Journal of Econometrics<\/jats:italic> 141, 416\u2013459), a pooled generalized least squares (GLS) based test using the Breitung and Meyer (1994, <jats:italic>Applied Economics<\/jats:italic> 25, 353\u2013361) device, and a new test based on the asymptotic structure of the model are all asymptotically UMP (Uniformly Most Powerful). Thus, perhaps somewhat surprisingly, pooled regression-based tests may yield optimal tests in case of heterogeneous alternatives. Although finite-sample powers are comparable, the new test is easy to implement and has superior size properties.<\/jats:p>","DOI":"10.1017\/s0266466614000656","type":"journal-article","created":{"date-parts":[[2014,9,23]],"date-time":"2014-09-23T07:23:24Z","timestamp":1411457004000},"page":"539-559","source":"Crossref","is-referenced-by-count":9,"title":["ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS\u2014THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES"],"prefix":"10.1017","volume":"31","author":[{"given":"I.","family":"Gaia Becheri","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Feike C.","family":"Drost","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ramon van den","family":"Akker","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2014,9,23]]},"reference":[{"key":"S0266466614000656_ref21","doi-asserted-by":"crossref","first-page":"1057","DOI":"10.1111\/1468-0262.00070","article-title":"Limit theory for nonstationary panel data","volume":"67","author":"Phillips","year":"1999","journal-title":"Econometrica"},{"key":"S0266466614000656_ref17","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1016\/j.jeconom.2003.10.020","article-title":"Testing for a unit root in panels with dynamic factors","volume":"122","author":"Moon","year":"2004","journal-title":"Journal of Econometrics"},{"key":"S0266466614000656_ref15","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/S0304-4076(01)00098-7","article-title":"Unit root tests in panel data: Asymptotic and finite-sample properties","volume":"108","author":"Levin","year":"2002","journal-title":"Journal of Econometrics"},{"key":"S0266466614000656_ref11","doi-asserted-by":"crossref","first-page":"311","DOI":"10.1017\/S0266466609090768","article-title":"Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations","volume":"26","author":"Harris","year":"2010","journal-title":"Econometric Theory"},{"key":"S0266466614000656_ref18","doi-asserted-by":"crossref","first-page":"80","DOI":"10.1111\/j.1368-423X.2008.00236.x","article-title":"Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects","volume":"11","author":"Moon","year":"2008","journal-title":"Econometrics Journal"},{"key":"S0266466614000656_ref13","doi-asserted-by":"crossref","first-page":"1103","DOI":"10.3982\/ECTA6113","article-title":"Semiparametric power envelopes for tests of the unit root hypothesis","volume":"76","author":"Jansson","year":"2008","journal-title":"Econometrica"},{"key":"S0266466614000656_ref20","doi-asserted-by":"crossref","first-page":"1269","DOI":"10.1111\/1468-0262.00447","article-title":"Tests for unit roots and the initial condition","volume":"71","author":"M\u00fcller","year":"2003","journal-title":"Econometrica"},{"key":"S0266466614000656_ref22","doi-asserted-by":"crossref","first-page":"97","DOI":"10.2307\/1403577","article-title":"An asymptotic representation theorem","volume":"59","author":"Van der Vaart","year":"1991","journal-title":"International Statistical Review"},{"key":"S0266466614000656_ref12","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1016\/S0304-4076(03)00092-7","article-title":"Testing for unit roots in heterogeneous panels","volume":"115","author":"Im","year":"2003","journal-title":"Journal of Econometrics"},{"key":"S0266466614000656_ref2","doi-asserted-by":"crossref","first-page":"607","DOI":"10.1111\/1468-0084.61.s1.12","article-title":"Panel data unit roots and cointegration: An overview","volume":"61","author":"Banerjee","year":"1999","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"S0266466614000656_ref7","first-page":"511","volume-title":"Palgrave Handbook of Econometrics","volume":"1","author":"Choi","year":"2006"},{"key":"S0266466614000656_ref8","doi-asserted-by":"crossref","first-page":"297","DOI":"10.3150\/08-BEJ153","article-title":"The asymptotic structure of nearly unstable non negative integer-valued AR(1) models","volume":"15","author":"Drost","year":"2009","journal-title":"Bernoulli"},{"key":"S0266466614000656_ref16","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1111\/j.1368-423X.2009.00302.x","article-title":"Unit root inference in panel data models where the time-series dimension is fixed: A comparison of different tests","volume":"13","author":"Madsen","year":"2010","journal-title":"Econometrics Journal"},{"key":"S0266466614000656_ref5","doi-asserted-by":"crossref","first-page":"353","DOI":"10.1080\/00036849400000081","article-title":"Testing for unit roots in panel data: Are wages on different bargaining levels cointegrated?","volume":"25","author":"Breitung","year":"1994","journal-title":"Applied Economics"},{"key":"S0266466614000656_ref23","volume-title":"Asymptotic Statistics","author":"Van der Vaart","year":"2000"},{"key":"S0266466614000656_ref3","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1016\/S0731-9053(00)15006-6","volume-title":"Nonstationary Panels, Panel Cointegration, and Dynamic Panels. Advances in Econometrics","volume":"15","author":"Breitung","year":"2000"},{"key":"S0266466614000656_ref24","doi-asserted-by":"crossref","first-page":"547","DOI":"10.1080\/07474938.2013.741023","article-title":"Lessons from a decade of IPS and LLC","volume":"32","author":"Westerlund","year":"2013","journal-title":"Econometric Reviews"},{"key":"S0266466614000656_ref10","doi-asserted-by":"crossref","first-page":"200","DOI":"10.1016\/j.jeconom.2011.03.007","article-title":"A class of simple distribution-free rank-based unit root tests","volume":"163","author":"Hallin","year":"2011","journal-title":"Journal of Econometrics"},{"key":"S0266466614000656_ref14","doi-asserted-by":"crossref","first-page":"483","DOI":"10.1214\/aos\/1176350817","article-title":"On the preservation of local asymptotic normality under information loss","volume":"16","author":"Le Cam","year":"1988","journal-title":"Annals of Statistics"},{"key":"S0266466614000656_ref19","doi-asserted-by":"crossref","first-page":"416","DOI":"10.1016\/j.jeconom.2006.10.003","article-title":"Incidental trends and the power of panel unit root tests","volume":"141","author":"Moon","year":"2007","journal-title":"Journal of Econometrics"},{"key":"S0266466614000656_ref9","doi-asserted-by":"crossref","first-page":"767","DOI":"10.1111\/1468-2354.00039","article-title":"Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution","volume":"40","author":"Elliott","year":"1999","journal-title":"International Economic Review"},{"key":"S0266466614000656_ref4","doi-asserted-by":"crossref","first-page":"414","DOI":"10.1111\/j.1467-9574.2005.00299.x","article-title":"Panel unit root tests under cross-sectional dependence","volume":"59","author":"Breitung","year":"2005","journal-title":"Statistica Neerlandica"},{"key":"S0266466614000656_ref1","doi-asserted-by":"crossref","first-page":"7","DOI":"10.1016\/S0731-9053(00)15002-9","volume-title":"Nonstationary Panels, Panel Cointegration, and Dynamic Panels. Advances in Econometrics","volume":"15","author":"Baltagi","year":"2000"},{"key":"S0266466614000656_ref25","doi-asserted-by":"crossref","first-page":"254","DOI":"10.1016\/j.jeconom.2011.11.009","article-title":"Testing for a unit root in a random coefficient panel data model","volume":"167","author":"Westerlund","year":"2012","journal-title":"Journal of Econometrics"},{"key":"S0266466614000656_ref6","volume-title":"The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice","author":"Breitung","year":"2008"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466614000656","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,12,11]],"date-time":"2020-12-11T23:07:18Z","timestamp":1607728038000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466614000656\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,9,23]]},"references-count":25,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2015,6]]}},"alternative-id":["S0266466614000656"],"URL":"https:\/\/doi.org\/10.1017\/s0266466614000656","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,9,23]]}}}