Advanced

The Power of PANIC

Westerlund, Joakim LU (2015) In Journal of Econometrics 185(2). p.495-509
Abstract
The current paper considers the asymptotic local power of second-generation panel

unit root tests that are robust to the presence of cross-section dependence in the form

of common factors. As a basis for our analysis, we take the PANIC approach of Bai

and Ng (A PANIC Attack on Unit Roots and Cointegration, Econometrica 72, 1127–1177,

2004; Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation.

Econometric Theory 26, 1088–1114, 2010), which is one of the single most popular and

general second-generation approaches around.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Unit root test, Panel data, Incidental trends, Common factors, Local asymptotic power.
in
Journal of Econometrics
volume
185
issue
2
pages
495 - 509
publisher
Elsevier
external identifiers
  • wos:000350778500013
  • scopus:84922759038
ISSN
0304-4076
DOI
10.1016/j.jeconom.2014.03.013
language
English
LU publication?
yes
id
07d54b12-d38c-4cc3-9770-ef2cfa6b982a (old id 4588911)
date added to LUP
2014-08-20 11:12:37
date last changed
2017-04-16 03:04:46
@article{07d54b12-d38c-4cc3-9770-ef2cfa6b982a,
  abstract     = {The current paper considers the asymptotic local power of second-generation panel<br/><br>
unit root tests that are robust to the presence of cross-section dependence in the form<br/><br>
of common factors. As a basis for our analysis, we take the PANIC approach of Bai<br/><br>
and Ng (A PANIC Attack on Unit Roots and Cointegration, Econometrica 72, 1127–1177,<br/><br>
2004; Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation.<br/><br>
Econometric Theory 26, 1088–1114, 2010), which is one of the single most popular and<br/><br>
general second-generation approaches around.},
  author       = {Westerlund, Joakim},
  issn         = {0304-4076},
  keyword      = {Unit root test,Panel data,Incidental trends,Common factors,Local asymptotic power.},
  language     = {eng},
  number       = {2},
  pages        = {495--509},
  publisher    = {Elsevier},
  series       = {Journal of Econometrics},
  title        = {The Power of PANIC},
  url          = {http://dx.doi.org/10.1016/j.jeconom.2014.03.013},
  volume       = {185},
  year         = {2015},
}