Panicca: Panic on Cross-Section Averages
Författare
Summary, in English
The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22: 265–312) and Pesaran et al. (Panel unit root test in the presence of a multifactor error structure. Journal of Econometrics 2013; 175: 94–115), and the principal components-based panel analysis of non-stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (A PANIC attack on unit roots and cointegration. Econometrica 2004; 72: 1127–1177; Panel unit root tests with cross-section dependence: a further investigation. Econometric Theory 2010; 26: 1088–1114) are among the most popular ‘second-generation’ approaches for cross-section correlated panels. One feature of these approaches is that they have different strengths and weaknesses. The purpose of the current paper is to develop PANICCA, a combined approach that exploits the strengths of both CA and PANIC.
Avdelning/ar
Publiceringsår
2015
Språk
Engelska
Sidor
1-21
Publikation/Tidskrift/Serie
Journal of Applied Econometrics
Issue
Online: 26 AUG
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
John Wiley & Sons Inc.
Ämne
- Economics
Nyckelord
- cross-section average augmentation
- PANIC
- unit root test
- cross-section dependence
- common factors
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0883-7252