Panicca: panic on cross-section averages

Reese, Simon and Westerlund, Joakim 2016, Panicca: panic on cross-section averages, Journal of applied econometrics, vol. 31, pp. 961-981, doi: 10.1002/jae.2487.

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Title Panicca: panic on cross-section averages
Author(s) Reese, Simon
Westerlund, Joakim
Journal name Journal of applied econometrics
Volume number 31
Start page 961
End page 981
Total pages 21
Publisher Wiley
Place of publication London, Eng.
Publication date 2016
ISSN 1099-1255
0883-7252
Keyword(s) C12
C13
C33
C36
PANIC
cross-section average augmentation
unit root test
cross-section dependence
common factors
Language eng
DOI 10.1002/jae.2487
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078210

Document type: Journal Article
Collections: Deakin Graduate School of Business
2018 ERA Submission
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