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Panicca: Panic on Cross-Section Averages

Reese, Simon LU and Westerlund, Joakim LU (2015) In Journal of Applied Econometrics p.1-21
Abstract
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.... (More)
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. (Less)
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author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
cross-section average augmentation, PANIC, unit root test, cross-section dependence, common factors
in
Journal of Applied Econometrics
issue
Online: 26 AUG
pages
1 - 21
publisher
John Wiley & Sons Inc.
external identifiers
  • scopus:84940564864
  • wos:000385435500002
ISSN
0883-7252
DOI
10.1002/jae.2487
language
English
LU publication?
yes
id
df4aceb9-e40d-4590-a9bc-187818121f09 (old id 7995126)
alternative location
http://onlinelibrary.wiley.com/doi/10.1002/jae.2487/epdf
date added to LUP
2016-04-01 11:04:48
date last changed
2022-04-28 06:47:38
@article{df4aceb9-e40d-4590-a9bc-187818121f09,
  abstract     = {{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.}},
  author       = {{Reese, Simon and Westerlund, Joakim}},
  issn         = {{0883-7252}},
  keywords     = {{cross-section average augmentation; PANIC; unit root test; cross-section dependence; common factors}},
  language     = {{eng}},
  number       = {{Online: 26 AUG}},
  pages        = {{1--21}},
  publisher    = {{John Wiley & Sons Inc.}},
  series       = {{Journal of Applied Econometrics}},
  title        = {{Panicca: Panic on Cross-Section Averages}},
  url          = {{http://dx.doi.org/10.1002/jae.2487}},
  doi          = {{10.1002/jae.2487}},
  year         = {{2015}},
}