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A note on the pooling of individual panic unit root tests

Westerlund, Joakim and Larsson, Rolf 2009, A note on the pooling of individual panic unit root tests, Econometric theory, vol. 25, no. 6, pp. 1851-1868, doi: 10.1017/S0266466609990351.

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Title A note on the pooling of individual panic unit root tests
Author(s) Westerlund, Joakim
Larsson, Rolf
Journal name Econometric theory
Volume number 25
Issue number 6
Start page 1851
End page 1868
Total pages 18
Publisher Cambridge University Press (CUP)
Place of publication Cambridge, Eng.
Publication date 2009
ISSN 0266-4666
1469-4360
Keyword(s) C21
C22
C23
Panel Unit Root Test
Pooling
Common Factor
Cross-Sectional Dependence
Summary One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the asymptotic validity of PANIC as a platform for constructing pooled panel unit root tests based on averaging is not fully proven. This paper provides the required results, whose usefulness is verified through simulations. © 2009 Cambridge University Press.
Language eng
DOI 10.1017/S0266466609990351
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 ©2009, Cambridge University Press (CUP)
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078224

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