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PANIC in the Presence of Uncertainty about the Deterministic Trend

Westerlund, Joakim LU and Blomquist, Johan LU (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:
author
and
organization
publishing date
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}},
}