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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2007:5
- Classification
-
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
- Subject
-
Panel Unit Root Test
Pooling
Common Factor
Cross-Sectional Dependence
- Event
-
Geistige Schöpfung
- (who)
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Westerlund, Joakim
- Event
-
Veröffentlichung
- (who)
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Lund University, School of Economics and Management, Department of Economics
- (where)
-
Lund
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Westerlund, Joakim
- Lund University, School of Economics and Management, Department of Economics
Time of origin
- 2007
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