PANIC in the Presence of Uncertainty about the Deterministic Trend
(2013) In Oxford Bulletin of Economics and Statistics 75(1). p.123-135- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/3626434
- author
- Westerlund, Joakim LU and Blomquist, Johan LU
- organization
- publishing date
- 2013
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 75
- issue
- 1
- pages
- 123 - 135
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000315696900008
- scopus:84871533161
- ISSN
- 1468-0084
- DOI
- 10.1111/obes.12008
- language
- English
- LU publication?
- yes
- id
- 11db5273-2e73-4e15-b7eb-c4d8d8193e87 (old id 3626434)
- alternative location
- http://onlinelibrary.wiley.com/doi/10.1111/obes.12008/full
- date added to LUP
- 2016-04-01 10:32:10
- date last changed
- 2022-01-26 00:11:17
@article{11db5273-2e73-4e15-b7eb-c4d8d8193e87, abstract = {{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.}}, author = {{Westerlund, Joakim and Blomquist, Johan}}, issn = {{1468-0084}}, language = {{eng}}, number = {{1}}, pages = {{123--135}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{PANIC in the Presence of Uncertainty about the Deterministic Trend}}, url = {{http://dx.doi.org/10.1111/obes.12008}}, doi = {{10.1111/obes.12008}}, volume = {{75}}, year = {{2013}}, }