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PANICCA - PANIC on Cross-Section Averages

Reese, Simon LU and Westerlund, Joakim LU (2015) In Journal of Applied Econometrics
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
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
PANIC, cross-section average augmentation, unit root test, cross-section dependence, common factors
in
Journal of Applied Econometrics
pages
21 pages
publisher
Department of Economics, Lund Universtiy
external identifiers
  • scopus:84940564864
ISSN
1099-1255
0883-7252
language
English
LU publication?
yes
id
ff5d92cd-0da4-4a38-8f0f-1cd8e8dc258f (old id 5044644)
date added to LUP
2015-02-05 09:37:33
date last changed
2017-01-01 03:04:28
@misc{ff5d92cd-0da4-4a38-8f0f-1cd8e8dc258f,
  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         = {1099-1255},
  keyword      = {PANIC,cross-section average augmentation,unit root test,cross-section dependence,common factors},
  language     = {eng},
  note         = {Working Paper},
  pages        = {21},
  publisher    = {Department of Economics, Lund Universtiy},
  series       = {Journal of Applied Econometrics},
  title        = {PANICCA - PANIC on Cross-Section Averages},
  year         = {2015},
}