Panicca: Panic on Cross-Section Averages
(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)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/7995126
- author
- Reese, Simon LU and Westerlund, Joakim LU
- organization
- publishing date
- 2015
- 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}}, }