PANIC in the Presence of Uncertainty about the Deterministic Trend
Författare
Summary, in English
Most macroeconomic and financial panel variables are trending. However, because of the well-known power problem in the presence of incidental trends, many researchers gamble that their unit root test regressions can be ran without such trends, thereby running the risk of obtaining spurious results. This article takes one of the most general and popular panel unit root tests, known as PANIC, and shows how it can be modified to account for the uncertainty regarding the deterministic trend.
Avdelning/ar
Publiceringsår
2013
Språk
Engelska
Sidor
123-135
Publikation/Tidskrift/Serie
Oxford Bulletin of Economics and Statistics
Volym
75
Issue
1
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
Wiley-Blackwell
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1468-0084