The power of PANIC

Westerlund, Joakim 2015, The power of PANIC, Journal of econometrics, vol. 185, no. 2, pp. 495-509, doi: 10.1016/j.jeconom.2014.03.013.

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Title The power of PANIC
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Journal of econometrics
Volume number 185
Issue number 2
Start page 495
End page 509
Total pages 15
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-04
ISSN 0304-4076
1872-6895
Keyword(s) Common factors
Incidental trends
Local asymptotic power
Panel data
Unit root test
Social Sciences
Science & Technology
Physical Sciences
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
UNIT-ROOT TESTS
PANEL-DATA
COINTEGRATION
TRENDS
Summary 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 (2004, 2010), which is one of the single most popular and general second-generation approaches around.
Language eng
DOI 10.1016/j.jeconom.2014.03.013
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30077705

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
2018 ERA Submission
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