PANICCA - PANIC on Cross-Section Averages

Forskningsoutput: Working paper

Abstract

The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22: 265–312) and Pesaran et al. (Panel unit root test in the presence of a multifactor error structure. Journal of Econometrics 2013; 175: 94–115), and the principal components-based panel analysis of non-stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (A PANIC attack on unit roots and cointegration. Econometrica 2004; 72: 1127–1177; Panel unit root tests with cross-section dependence: a further investigation. Econometric Theory 2010; 26: 1088–1114) are among the most popular ‘second-generation’ approaches for cross-section correlated panels. One feature of these approaches is that they have different strengths and weaknesses. The purpose of the current paper is to develop PANICCA, a combined approach that exploits the strengths of both CA and PANIC.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
FörlagDepartment of Economics, Lund Universtiy
Antal sidor21
StatusPublished - 2015
PublikationskategoriForskning

Publikationsserier

NamnJournal of Applied Econometrics
ISSN (tryckt)1099-1255
ISSN (elektroniskt)0883-7252

Relaterad forskningsoutput

Simon Reese & Joakim Westerlund, 2015, I : Journal of Applied Econometrics. Online: 26 AUG, s. 1-21

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Visa alla (1)