A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS
- 1 February 2009
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 25 (6), 1851-1868
- https://doi.org/10.1017/s0266466609990351
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.Keywords
This publication has 1 reference indexed in Scilit:
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979