PANIC in the presence of uncertainty about the deterministic trend

Westerlund, Joakim and Blomquist, Johan 2013, PANIC in the presence of uncertainty about the deterministic trend, Oxford bulletin of economics and statistics, vol. 75, no. 1, pp. 123-135.

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Title PANIC in the presence of uncertainty about the deterministic trend
Author(s) Westerlund, Joakim
Blomquist, Johan
Journal name Oxford bulletin of economics and statistics
Volume number 75
Issue number 1
Start page 123
End page 135
Total pages 13
Publisher Wiley-Blackwell Publishing
Place of publication Chichester, England
Publication date 2013-02
ISSN 0305-9049
1468-0084
Keyword(s) C32
C33
Summary 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.
Language eng
Field of Research 140304 Panel Data Analysis
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2013, Wiley-Blackwell Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30058017

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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