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.

Attached Files
Name Description MIMEType Size Downloads

Title The power of PANIC
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim
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
Keyword(s) Common factors
Incidental trends
Local asymptotic power
Panel data
Unit root test
Social Sciences
Science & Technology
Physical Sciences
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Business & Economics
Mathematical Methods In Social Sciences
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

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
2018 ERA Submission
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 8 times in TR Web of Science
Scopus Citation Count Cited 8 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 365 Abstract Views, 8 File Downloads  -  Detailed Statistics
Created: Mon, 07 Sep 2015, 14:39:11 EST

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