The Power of PANIC
Författare
Summary, in English
The current paper considers the asymptotic local power of second-generation panel
unit root tests that are robust to the presence of cross-section dependence in the form
of common factors. As a basis for our analysis, we take the PANIC approach of Bai
and Ng (A PANIC Attack on Unit Roots and Cointegration, Econometrica 72, 1127–1177,
2004; Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation.
Econometric Theory 26, 1088–1114, 2010), which is one of the single most popular and
general second-generation approaches around.
unit root tests that are robust to the presence of cross-section dependence in the form
of common factors. As a basis for our analysis, we take the PANIC approach of Bai
and Ng (A PANIC Attack on Unit Roots and Cointegration, Econometrica 72, 1127–1177,
2004; Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation.
Econometric Theory 26, 1088–1114, 2010), which is one of the single most popular and
general second-generation approaches around.
Avdelning/ar
Publiceringsår
2015
Språk
Engelska
Sidor
495-509
Publikation/Tidskrift/Serie
Journal of Econometrics
Volym
185
Issue
2
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Unit root test
- Panel data
- Incidental trends
- Common factors
- Local asymptotic power.
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0304-4076