Arbeitspapier

A Note on the Pooling of Individual PANIC Unit Root Tests

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004, A PANIC Attack on Unit Roots and Cointegration. Econometrica 72, 1127-1177), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. This paper shows that, although valid at the level of the individual unit, PANIC is not an asymptotically valid framework for pooling tests at the aggregate panel level.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2007:5

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Thema
Panel Unit Root Test
Pooling
Common Factor
Cross-Sectional Dependence

Ereignis
Geistige Schöpfung
(wer)
Westerlund, Joakim
Ereignis
Veröffentlichung
(wer)
Lund University, School of Economics and Management, Department of Economics
(wo)
Lund
(wann)
2007

Handle
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Westerlund, Joakim
  • Lund University, School of Economics and Management, Department of Economics

Entstanden

  • 2007

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