The Power of PANIC

Research output: Contribution to journalArticle

Abstract

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 (A PANIC Attack on Unit Roots and Cointegration, Econometrica 72, 1127–1177,
2004; Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation.
Econometric Theory 26, 1088–1114, 2010), which is one of the single most popular and
general second-generation approaches around.

Details

Authors
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • Unit root test, Panel data, Incidental trends, Common factors, Local asymptotic power.
Original languageEnglish
Pages (from-to)495-509
JournalJournal of Econometrics
Volume185
Issue number2
StatePublished - 2015
Peer-reviewedYes