Harvey, David I.; Leybourne, Stephen J.; Sakkas, Nikolaos D. - Granger Centre for Time Series Econometrics, School of … - 2008
In this paper we show that panel unit root tests based on OLS detrending have inferior power relative to tests based on GLS detrending when the deviations of the initial observations from the deterministic components of the series are small. This ranking, however, is reversed for larger...
