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, doi: 10.1111/obes.12008.

Attached Files
Name Description MIMEType Size Downloads

Title PANIC in the presence of uncertainty about the deterministic trend
Author(s) Westerlund, JoakimORCID iD for 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
Keyword(s) C32
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
DOI 10.1111/obes.12008
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

Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 2 times in TR Web of Science
Scopus Citation Count Cited 2 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 527 Abstract Views, 9 File Downloads  -  Detailed Statistics
Created: Mon, 25 Nov 2013, 10:04:37 EST by Katrina Fleming

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact