SummaryThis paper provides asymptotic optimality results for panel unit root tests with covariates by deriving the Gaussian power envelope. The main conclusion is that the use of covariates holds considerable promise in the panel data context, much more so than in the time series context. In fact, the use of the covariates not only leads to increased power, but can actually have an order effect on the shrinking neighbourhoods around unity for which power is non-negligible.

中文翻译：

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具有协变量的最优面板单位根检验

总结本文通过推导高斯幂包络线，为带有协变量的面板单元根检验提供了渐近最优结果。主要结论是，在面板数据上下文中使用协变量具有很大的希望，远比在时间序列上下文中要好。实际上，使用协变量不仅会导致幂增加，而且实际上会对幂不可忽略的单位周围不断缩小的邻域产生阶次影响。