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A note on the pooling of individual panic unit root tests
University of Gothenburg, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Information Science, Statistics.
2009 (English)In: Econometric Theory, ISSN 0266-4666, E-ISSN 1469-4360, Vol. 25, no 6, 1851-1868 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2009. Vol. 25, no 6, 1851-1868 p.
National Category
URN: urn:nbn:se:uu:diva-131823DOI: 10.1017/S0266466609990351ISI: 000271696200016OAI: oai:DiVA.org:uu-131823DiVA: diva2:355628
Available from: 2010-10-07 Created: 2010-10-07 Last updated: 2010-12-27Bibliographically approved

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Larsson, Rolf
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