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A Note On The Pooling Of Individual Panic Unit Root Tests

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  • Westerlund, Joakim
  • Larsson, Rolf

Abstract

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.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 06 (December)
Pages: 1851-1868

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Handle: RePEc:cup:etheor:v:25:y:2009:i:06:p:1851-1868_99

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  1. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, Econometric Society, vol. 72(4), pages 1127-1177, 07.
  2. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, Econometric Society, vol. 67(5), pages 1057-1112, September.
  3. Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo Group Munich.
  4. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, Econometric Society, vol. 71(1), pages 135-171, January.
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Cited by:
  1. Georgios Chortareas & George Kapetanios, 2004. "Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels," Working Papers, Queen Mary, University of London, School of Economics and Finance 517, Queen Mary, University of London, School of Economics and Finance.
  2. Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute for the Study of Labor (IZA).
  3. Christian Dreger & Dierk Herzer, 2012. "A further examination of the export-led growth hypothesis," FIW Working Paper series, FIW 084, FIW.
  4. Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.

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